Download the install package, filename is mysql-noinstall-5.1.22-rc-win32.zip in this case.
Extract it to the installation location, traditionally, the MySQL server uses "c:\mysql", but my option is "e:\HTTPD\mysql", any location you like is OK.
Create your own config file, it's a good idea to put this file in your MySQL server installation location, not the system path. You may create this file just containing a [mysqld] section:
[mysqld]
# set basedir to your installation path
basedir=E:\\HTTPD\\mysql
# set datadir to the location of your data directory
datadir=E:\\HTTPD\\mysql\\data
Install MySQL as a Windows service, use the command: