Created database manually
Created database user manually, granted access
Manually configured config.php
No luck : still database connection problems
Finally I found the solution :
http://dev.mysql.com/doc/refman/5.0/en/old-client.html
It appears that my version of php (4.3.11) uses old mysql libs.
So change the moodle user password :
mysql>SET PASSWORD FOR
->'moodle_user'@'database_host' = OLD_PASSWORD('newpwd');
Now the installations runs fine