You checked this right:
Go into Control Panel > Administrative Tools > Services
Look in that list for MySQL see if it says "started" under the status column.
?
The steps I took to install MySQL was install the executable, then installed it as a service, then I went through the manual to set my root account up. Below is a portion of what the MySQL manual states:
You should also add a password for the root user. The following example starts by removing the anonymous user that can be used by anyone to access the test database, then sets a root user password:
C:> C:\mysql\bin\mysql mysql
mysql> DELETE FROM user WHERE Host='localhost' AND User='';
mysql> QUIT
C:> C:\mysql\bin\mysqladmin reload
C:> C:\mysql\bin\mysqladmin -u root password your_password
I think that's pretty much all I did to install MySQL.
If all this doesn't help go into C:\mysql\Docs\manual_toc.html
scroll down to where it says
2.1.2 Installing MySQL on Windows
Hopefully that will help you if all else fails.