Of course you have to be sure MySQL is running.
Install MySQL as a service. Run mysqld-nt from a command prompt. If he doesn't find the command fire it from mysql/bin folder.
Now go to configuration panel -> adminstrative tools -> service
Make sure MySQL is started and it start everytime your systems boots (if that is what you want).
Ok now you need to make a DB. You can do this from a command prompt or use MYSQL CC. In my example my DB is called exampleDB
After that you should be able to connect to the DB. You are also adviced to create a special web account with restricted privleges and let PHP connect to it.
For instance create a user called PHP and give him a password MYPASSWORD then grant him only insert update select and delete functions.
$link = mysql_connect("localhost", "PHP", "MYPASSWORD")
or die("Could not connect : " . mysql_error());
echo "Connected successfully";
mysql_select_db("exampleDB") or die("Could not select database");
If this isn't specific enough be more specific your self 🙂
Tell us what OS you are running. If you have created a DB, if your sure it's running etc...