Did you open up the MySQL port? Did you change or enter your MySQL password? Did you enable OLD_PASSWORDS?
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set password for 'root'@'localhost' = OLD_PASSWORD('newpwd');
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You shouldn't be getting connection issues if this is your first time setting it up. We don't know what you've done (if you messed anything up), so it's hard to help you if you can't troubleshoot basic things by yourself. That error could mean a few things - namely a port, service or password issue.