Actually, the MySQL binaries yo can find on http://www.mysql.com come with very easy installation instructions (in fact, i think it is all automated). The first time you run MySQL (i recommed the winmysqladmin.exe to start the server), it will ask you a user name and password. You can leave that blank, and then the connection would read as follows:
$Conn = mysql_connect("localhost","","");
Hope it helps
fLIPIS