Passenger ship lists were filled out at the port of departure.
This means you need to search for your ancestor's original name as it would appear in his former country. Don't forget to try nicknames too.
To find the "old country" version of your ancestor's name try searching:
www.behindthename.com
Many nationalities had traditional naming patterns:
http://www.genealogy.com/35_donna.html
Here is a good source for background information about names:
http://www.genealogy.com/18_smith.html
Here are some helpful tips for finding your ancesor's names in databases
http://genealogy.about.com/od/search_tips/tp/database_search.htm
