The method you'll use to get MySQL depends on which distribution you want. Methods range from downloading a large file (or several large files) to buying an off-the-shelf product.
MySQL AB distributes the open source version of MySQL on their Web site: http://www.mysql.com/. There is no shrink-wrapped product; what you get is what you download from the site, which includes binary distributions for Windows and Linux/Unix, as well as RPMs and source distributions.
NuSphere Corporation sells a variety of products including the NuSphere Technology Platform, which includes a version of MySQL with NuSphere-specific enhancements, such as the Gemini table type. NuSphere's products are available for purchase from their Web site: http://www.nusphere.com/.
AbriaSoft distributes MySQL as part of their Merlin Server (a Web development platform), which is available for download and purchase at their Web site: http://www.abriasoft.com/.
Linux distribution CDs usually contain some version or another of the open source MySQL distribution, although it's usually a bit out-of-date.
The installation instructions in this hour are based on the official MySQL-Pro 4.0 distributions from MySQL AB. The process of installing the 3.23 version of MySQL is virtually identical, but if you choose to install that version, read the instructions that ship with the distribution just to be on the safe side. Any functional differences between versions 3.23 and 4.0 will be noted in later hours.