Need help running query to MySQL

I have included my code below. I just keep getting the error.
I know the connection is good. It just won't run my insert statement.
Can anyone help?

$query = "insert into Persons (Name, Town, State) values ('Steve', 'Pasadena', 'Maryland')";

mysql_query($query) or die("It didn't add the data!");

I keep getting "It didn't add the data!"

First thing you should do to diagnose a failing query is to retrieve the error message from the MySQL server (e.g. via [man]mysql_error/man).

I didn't think about that, and it helped me find the error. I just don't know how to fix it.

It tells me "No database selected".

Any advice?

I see I was missing the following code:
mysql_select_db($db);

Thanks for the help.