Vilian,
It appears to be saying that it is not finding the database. Perhaps the path is not specified or is incorrect.
You should also check your normal connection syntax with that being used in the ADORDD.PRG's ADOOOPENCONNECT() function.
I don't have MySQL installed here so I can't test it. Plus I am running xHarbour not Harbour.
I do suggest using the ACCESS Northwind.mdb to get started. After you get that opened successfully, then you can try other databases. MySQL is supposed to be syntax compatible so it should be easy once you get Northwind.mdb working.
James