MySQL Reference Manual - 4.0.20

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2.2.1.2 Installing a Windows Binary Distribution

To install MySQL on Windows using a binary distribution, follow this procedure:

If you are working on a Windows NT, 2000, or XP machine, make sure that you have logged in as a user with administrator privileges.
If you are doing an upgrade of an earlier MySQL installation, it is necessary to stop the current server. On Windows NT, 2000, or XP machines, if you are running the server as a Windows service, stop it as follows from the command prompt:
C:\> NET STOP MySQL
If you plan to use a different server after the upgrade (for example, if you want to run mysqld-max rather than mysqld), remove the existing service:
C:\> C:\mysql\bin\mysqld --remove
You can reinstall the service to use the proper server after upgrading.
If you are not running the MySQL server as a service, stop it like this:
C:\> C:\mysql\bin\mysqladmin -u root shutdown
Exit the WinMySQLAdmin program if it is running.
Unzip the distribution file to a temporary directory.
Run the setup.exe program to begin the installation process. If you want to install MySQL into a location other than the default directory (`C:\mysql'), use the Browse button to specify your preferred directory. If you do not install MySQL into the default location, you will need to specify the location whenever you start the server. The easiest way to do this is to use an option file, as described in Preparing the Windows MySQL Environment.
Finish the install process.

Important note: Early alpha Windows distributions for MySQL 4.1 do not contain an installer program. A 4.1 distribution is a ZIP file that you just unzip in the location where you want to install MySQL. For example, to install `mysql-4.1.1-alpha-win.zip' as `C:\mysql', unzip the distribution file on the C: drive, then rename the resulting `mysql-4.1.1-alpha' directory to `mysql'.

If you are upgrading to MySQL 4.1 from an earlier version, you will want to preserve your existing `data' directory that contains the grant tables in the mysql database and your own databases. Before installing 4.1, stop the server if it is running, and save your `data' directory to another location. Then either rename the existing `C:\mysql' directory or remove it. Install 4.1 as described in the preceding paragraph, and then replace its `data' directory with your old `data' directory. Start the new server and update the grant tables. This will avoid the loss of your current databases. See section Upgrading the Grant Tables.