This tutorial describes how to setup MySQL on Windows (tested with MySQL 5.0.21 on Windows XP Professional).
Download the precompiled Windows version of MySQL from http://dev.mysql.com/downloads/ (look for a link to the the community downloads).
Extract the downloaded .zip file, which contains one single setup.exe file, and install as any other installation procedure.
MySQL will work fine without changing any default option during the installation wizard.
Anyhow, if you plan to do C programming, check the Developer Components option, to install C headers and libraries.
You can also add the Developer Components option (or add/remove/modify any option) to an existing MySQL installation by executing the setup.exe file again.
I plan to use multi-lingual contents in my databases, so I changed the default MySQL charset, Latin1, to UTF-8.
While this does not affect MySQL directly, it may affect the configuration of MySQL administration tools such as phpMyAdmin, so check out the tutorial about PHP setup on Windows for details.
The easiest way to test the installation is to run the MySQL Command Line Client:
Start » All Programs » MySQL » MySQL Server » MySQL Command Line Client
It asks for the root password, and if it is accepted and you see a help message, MySQL is up and running.