Unfortunately services only apply to NT/2000/XP. You will have to put up with the quirks of running 98.
As long as you make sure that mysqld-opt has been properly shutdown before you shutdown/restart your machine you shouldn't get these problems.
There is no such thing as "SQL" coding as the implementation of the SQL standards varies from one db system to the next.
Best bet is to try it and if it does not work as you expect - have a look at the manual or post on here.