ok this is a mysql problem, most cases is because you password protect mysql root@localhost before install, to test it type mysql in the terminal, and it will return an error like ERROR 1045 (28000): Access denied
for user 'root'@'localhost' (using password: NO)
the solution is to reset the password for this account
1. use the command mysql -u root -p and use your root account password
2. in the mysql command line type SET PASSWORD FOR root@localhost = PASSWORD('');
this will empty the password for root account
now create again the user openexchange again in mysql and grant all privileges for it
I ran into such problems the first time, too. Just leave the root password empty when you get asked for it by the MySQL installer.
If you allready set the password have a look at camaya2000's solution.