Magento is using more then 1 config. (in ex. joomla is using one file). You must set database in /etc/local.xml

after this, on your hosting database you must change urls in table core_config_data. There are two rows :

web/secure/base_url

web/unsecure/base_url

Urls must by in format http://www.mystore.com/

and after this you must clear cache – delete content of directory var/cache/

have fun

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