Hi Daniel;
This is a message from the "PS Toolkit" application that has been installed in your PB IDE's work area. The toolkit is trying to connect to your DBMS to check the PB App's SQL syntax. So you need to configure the PS Toolkit's DB connection information in order for the compiler to be able to validate your PB App's SQL as it parses & converts your PowerScript to jScript. You can select the "Configure" icon on the lower PS Toolkit's toolbar and from there, configure the DB connection(s) you need.
Once the DB connections are configured in your PS Toolkit, then you can associate and use them in your "Application Profiles" to allow the toolkit to actually deploy your PB native App as either a Web or Mobile App to PowerServer itself.
HTH
Regards ... Chris