The MySQL installation packages can be downloaded from http://dev.mysql.com/downloads/. If the package you download is contained within a Zip archive, you need to extract the archive first.
            If you are installing on Windows Vista it is best to open a
            network port before beginning the installation. To do this,
            first ensure that you are logged in as an Administrator, go
            to the Control Panel, and double click
            the Windows Firewall icon. Choose the
            Allow a program through Windows Firewall
            option and click the Add port button.
            Enter MySQL into the
            Name text box and
            3306 (or the port of your choice) into
            the Port number text box. Also ensure
            that the TCP protocol radio button is
            selected. If you wish, you can also limit access to the
            MySQL server by choosing the Change
            scope button. Confirm your choices by clicking
            the OK button. If you do not open a
            port prior to installation, you cannot configure the MySQL
            server immediately after installation. Additionally, when
            running the MySQL Installation Wizard on Windows Vista,
            ensure that you are logged in as a user with administrative
            rights.
          
          The process for starting the wizard depends on the contents of
          the installation package you download. If there is a
          setup.exe file present, double-click it
          to start the installation process. If there is an
          .msi file present, double-click it to
          start the installation process.
        

