i have window xp, sp-3, and mysql5.1
recently i was having the following error while configuring mysql5.1
(No) Apply security settings

Error message reads: The security settings could not be applied. Error number 1405.
Access denied for user 'root'@'localhost' (Using password:Yes)
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now i have solved this problem.

i just went to control panel > firewall> click on it> click exception > add> (C:\Program Files\MySQL\MySQL Server 5.1\bin from here i selected mysql.exe)>then i configured mysql ..now i found the problem has solved.
while confuguring mysql pls.take care about the followings:
don't check > enable root access from remote machines
don't check > include bin directory in windows
don't type in CURRENT PASSWORD > by default there is no password
new root password>yes type ur password
confirm your passward > yes type ur password
don't check> create an anonymous account.

thanx.
i am writing this because i know most of people have similiar probs..an unfortunately could not get the solution very soon.

Thank you for this timely solution. I just installed MySQL 5.4 and ran into this error. I then tried to fix it by enabling 3306 port, no help! Your solution, saved me a bunch of time trying to figure this one out. Thank you!!