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Under Windows download the community edition from http://dev.mysql.com/downloads/ . For windows you have installer program available which guides you through the installation process.
If you had MySQL previously installed the installation may fail with the following error message:
"Access denied for user 'root'@'localhost'".
To de-install MySQL use "Add/Remove Programs" in the "Control Panel". That will also remove the windows services.
The data directory is located in the folder "C:\Documents and Settings\All Users\Application Data\MySQL".