Let me assume for a minute that your MySQL server is on the same machine as your copy of access. Set up something called MyODBC and you can connect Access directly to MySQL and you're all set. Directions are online, the whole thing is open source.
If they are on different machines, I would install MySQL on your windows machine, import the data via ODBC, then do a mysqldump to create a .sql file which contains all the CREATE TABLE etc etc you need. Then just load that file into wherever your real MySQL server lives.