Jeroen,
There is no MySQL server built into PHP4. The bit in the docs refering to built-in MySQL support refers to the fact that you no longer have to add the extension=php_mysql.dll directive in the php.ini file since the contents of that dll are now compiled directly into PHP4. You need to head on over to www.mysql.com/downloads/mysql-3.23.html and grab the Win32 binary. If you plan to use MySQL in a production environment, you will need a licence (currently about 170 Euros). If you plan to run the MySQL Service as a service on Win2K (or NT for that matter) and install the server into a directory other than c:\mysql, you will need to copy the my-example.cnf file from the root of the MySQL installation directory to c:\, rename it to my.cnf, and edit the base_dir directive to reflect the path to the MySQL root. If this isn't done, the service will not start. This does not apply to Win95/98 since MySQL cannot run as a service on those OS's. Hope this helps!!!
Cheers,
Goeff A. Virgo
