I think ADB misunderstood you.
On Windows, try mysqld-shareware. DO a CTRL-ALT-DELETE and check it's there in the process list. (Followed by CANCEL, obviously :-) )
To answer your second question, after dong the above, type "mysql -h localhost -u root"
(actually "mysql" by itself will probably do if you haven't done any security settings.
That should connect you. You can then issue SQL commands directly to the MySQL server Try "help", and "use databasename" to connect to a particular database. By default a database called TEST will be there, I think.
You do NOT need a webserver to connect to a MySQL server, they are completely separate.
If trying to use mysql on your computer to connect to a remote server use:
"mysql -h hostname -u username -p"
It will then prompt for a password (the -p means prompt for password, always do it this way, don't put the password in the command.