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.
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.