Magento database settings are stored at the xml file:

app/etc/local.xml

In this file you will find around line 37:

<resources>
            <db>
                <table_prefix><![CDATA[mage_]]></table_prefix>
            </db>
            <default_setup>
                <connection>
                    <host><![CDATA[localhost]]></host>
                    <username><![CDATA[your_database_username]]></username>
                    <password><![CDATA[your_database_password]]></password>
                    <dbname><![CDATA[your_database_name]]></dbname>
                    <active>1</active>
                </connection>
            </default_setup>
        </resources>

Change the database settings between the xml tags.