You can download the MySQL database from the MySQL website http://www.mysql.com by clicking on the downloads tab. Scroll down to the MySQL database server & standard clients section and select the latest production release of MySQL, 4.0 at the time of writing.

After clicking on the link you will be taken to the download page, scroll down to locate the Windows Downloads section and choose the first Pick A Mirror link. Now select a mirror and download the archive. Note that you will need Winzip or a similar utility to unzip the file you just downloaded. We also recommend downloading the MySQL Control Center from the downloads page. It’s currently in beta stage but allows you to administer your MySQL server with a graphical user interface. We will cover both ways of administration in this guide.

Installation of MySQL Server
Unzip the setup file and execute setup.exe. You can just keep all the default options during the installation, but you may skip the examples, libraries etc:

Download pdf MySQL Server Installation on Windows