mySQL comes with fairly thorough installation instructions, and there are installer packages available for most operating systems out there (your control panel may even have a simple checkbox interface for the entire process). However you should be aware that this really is one of those "if you have to ask then you probably shouldn't do it" kind of things, as there's a very good chance you might break something horribly and support will definitely not sort out any configuration blunders that aren't their fault.