Using MySQL is a snap, but setting it up isn't. I'd check to see if MySQL Control Center is on your computer, and if not, get it here:
http://www.mysql.com/products/mysqlcc/One nice thing about it is that when you change tables and stuff, it will print out the code needed to create the content, making it a lot easier to learn how the database syntax works. You can also just cut-and-paste the generated code into your applications.
I use the Win32 version of MySQL, though, which auto-installs it as a service. I know nothing about initializing if from the command line.
