This tutorial will show you how to install 
MySQL on Windows XP.  So, go to the MySQL website and download the MySQL
 Community Server you must register on the site to download the file. 
    File to download: 
Windows (x86, 32-bit), MSI Installer Essentials - Recommended if your operating system is a windows XP 64bit version use the 
Windows (x86, 64-bit), MSI Installer
    
    I will not list all the steps but the most important.
On the downloaded MySQL double click and this will start the installation of MySQL and follow the instructions.
    

    Select "I accept terms in the licence agreement" and click next: -
    
 
    
    select the "
custom" icon to change the path of the installation.
    

    Now browse or navigate to the folder C:\server\mysql we want to install the files in this folder.
    

    After the change press ok.
    

    Press install.
    

    Select a standerd configuration press next.
    

    To install the mysql service, press next.
    

    We need a password for MySQL database please enter a password, please remember the login name in most cases is 
root and the password your choosing, in my case I choose 
admin471.
    
    It will execute all the commands we enter so press "execute"
    

    Now MySql database is finally installed.
    
     The final and last step is you need to do is to open php.ini file located in C:\server\php and uncomment the line.
      extension=php_mysql.dll 
      by removing semicolon ; at the beginning. Save the file and close it. 
Restart the apache server by clicking on the apache icon in your taskbar.
    
Useful tool is MySQL administrator and system tray monitor from MySQL GUI and you can download it from there website.
    Setup Mysql GUI:-
      Go to programs menu (MySQL) click on "MySQL Administrator" Login 
into your database as localhost - username and password go to  "service 
control" and click on the tab "configure service" and change the path of
 the my.ini file to the correct location:
      C:\server\mysql\my.ini and click apply.
    

    Running MySQL in command prompt:
      All commands are run from the command line and directory - "C:\server\mysql\bin\
      To stop MySQL Running:
      NET STOP MySQL
      To start MySQL Running:
      NET START MySQL 
      Uninstall the MySQL Service:
      "C:\server\mysql\bin\mysqld" --remove
    
    
 
refer from http://www.alldon.info/install-mysql-windows.php