If you are just learning PHP and mySQL, you can put mySQL on the same machine being used as your web server. You would need to download the appropriate distributables for your O/S.
All calls to the mySQL_XXXX functions in PHP would then rely on localhost as the $host name (see mySQL_connect), else you would have to key in a DNS/IP address to get at it. I would keep it simple if your main focus is to learn mySQL/PHP quickly and forego all the administration issues.
If your question is where is mySQL, the answer is that you need to download it at www.mysql.com - it is not part of the PHP distributables.
Hope this helps!
Kerry Kobashi
Kobashi Computing