Well my first option would be, if possible, drop that host and find a new one (I use fusednetwork.com and am very happy) If your host does not allow your PHP script to remotely access the database then I'm not sure how the script would even function? Creating the database (empty) can be done ahead of time via their website, but if Amember script cannot populate the database (which is what happens during setup) I'm not sure it would function well.. Assuming you have already created the database (empty) run the setup and see what happens, let us know.