PHP5 does not include out-of-the-box integration with MySQL for some reason or another. You'll have to custom-install the PHP-MySQL module during installation, or set it up manually.
If you've installed the PHP manual (accessible from the Start Menu, if you have), you should be able to find the relevant installation information by going to Function Reference > MySQL Functions, and then reading the installation instructions for your platform (Windows).
Otherwise you can re-install PHP (technically you can "Change" your current installation) and include the MySQL extension during installation.