Check out the
MySQL documentation specificaly the
Installing on windows section might be usefull, after that, the
Connecting to and disconnecting will shed some light into how to get started.
SQL is a database, like access or Oracle or any of that sort, the communication language with it is called SQL-queries, once you've set up the actual database, you can start issuing all the queries you've been trying to figure out, and see how the database respond..
Mostly you'll probably get a
ERROR 1064 (42000): You have an error in your SQL syntax; but that just tells you, the way you've formed the query isn't following what's expected.
Oh, and don't forget to end each query with a
;