Since you haven't specified, I am going to make an assumption -- you are using an ISP, aren't you? That lesson probably assumes you have PHP/MySQL installed on your own computer. If it was on YOUR OWN computer, you would have a directory called mysql (on a windows box it would be C:\mysql), and below that directory is "bin."
I'm not sure how to help you regarding using the ISP, unless there is a way to save that file to your user home directory. You might want to talk to your ISP.