Do you have the database selected that you're intending to use? Once you login, type this:
Thus, if the name of my database was site_point, I would use:
mysql> USE [databasename];
After doing this, it should return a line saying something to the effect of "database changed."
mysql> USE site_point;
On an additional note, you may set the database to use before logging in by using the following format:
Hope this helps -- I'm not familiar with Cobalt servers specifically or what server environment they use. However, if this is not the problem, post back and let us know.
mysql -h [hostname] -u [username] -p[password] [database_to_use];