which file to download you mean?
Are you working off of your personal computer. If so I assume you aleady have some kinda server setup.
Are you on windows or unix?
This will depend what file you download from mysql. If windows download the Microsoft Installer files under win32.
if linux download the tar.gz files and follow the instructions.
if windows download and just run the file, it will to the rest.
Then...you will need to get a book😃
No, seriously, you will need to do a google search on how to connect to mysql or search here on phpbuilder. There are tons of examples.
If you really haven't done anything with php before, you are kinda jumping in the deep water. I would suggest learning something about strings or finding a php tutorial. And then come back here and go to the articles place, and I believe there is a article on how to setup up "password protection" or login.