By default mysql is installed with the user root and no password. You should change this asap, see the post-install docs on mysql's site for the exact method.
You should for the time being be able to connect as
$link = mysql_connect("localhost", "root", "");
Personally I think it is much better to install each piece separately and work through the errors and get it working like that instead of using an installer like phpdev, but that just me. I feel like you can learn a lot by going through the ropes and installing each piece manually.