Exhibition Name: The name of your website. You can change this later (in Settings not Preferences) if you need, so it's not that important.
Database Server: Depends on your server, but mine was just 'localhost' but sometimes it's "mysql.your-domain-name-here.org" or something along those lines. If you don't know — ask your host.
Database Name This is important that you set this up before trying to install Indexhibit. It all depends on your host, but mine uses CPanel to get to a screen called "MySQL Databases." You pick a name (like, say, ndx) and make a new database. Sometimes it'll change the name to something like usrnme1_ndx where usrnme1 is what your specific login is. That's sometimes the case when you are doing shared hosting, but not always. If this isn't somewhere you can find when you log into some sort of control panel (hint: you can't do this from your FTP) — ask your host. You're paying them, they can show you were to make a database. If you don't have databases, you can't install Indexhibit, and you should find a more modern host.
Database Username/Password: This is also important that you set this up before you install. The same screen (again, from my host; yours may be different) you need to add a new user to the database you just made. Mine likes to add the usrname1_ we talked about, but not always. For me it was a two-step process.
1) Create the user and set a password for it.
2) Add that newly-created user to the usrnme1_ndx database.
Those are the values you need. Once you get inside, things get a little less cryptic.
But seriously, this forum is a wealth of information. Just go back and read pages of these; most of the issues you would ever have have probably been touched on by someone. It's not about geek pride; it's about using the DIY method. You could just buy a hosted solution or use like a Fantastico script to get Wordpress up in a jiff. But what makes Indexhibit cool is that you have to get a little messy with it to make it work and feel just how you like. It's fun, trying at times, but fun.
Hang in there, bro.