Sounds like php wasn't compiled with mysql support.
Try creating a new page with the following in it:
PHP Code:
mysql_connect("localhost", "root", "");
If you get some kind of `unknown function` error, then your php installation doesn't have mysql support.
I'd suggest installing one of the Apache/PHP/etc bundles for Windows.
Apache2 Triad PHPTriad
(I've only used the first one [apache2 triad] for local development. PHPTriad doesn't seem to have released anything recently.)
-r