1st you need to know your computer Operating System.
2nd you need your machine to operate as a Server.
For windows, is IIS the path is usually (C:\Intetpub\wwwroot\), for linux is Apache (I am not sure with Linux).
3rd you need to download MySQL version 5.0 (version prior to this
doesnot have Store Procedure capability).
You may also want to download MySQL Query Browser and MySQL Admimnistrator. (This is the GUI - graphical user interface).
Hope this helps,