I experienced all of these while trying to help a friend install mysql on windows. I honestly can't believe we spent 3 hours trying to install it. There's a 100 thread posting in the mysql forums for installation troubles on windows so I'm sure I wasn't the only one. On the mac it was as easy as "port install mysql5" and on my Debian machine it was just "apt-get install mysql-server".
Sadly, postgresql was so easy to install in cygwin, but cygwin doesn't have a mysql server equivalent.