There is a nice small article about using MySQL on Windows 2003 or Vista desktop system.
I honestly have to say that, now after years of using MySQL on Windows, I find it to be my favorite database/platform combination of choice. In my opinion, it's easier to use than Microsoft's own database on their platform, the performance and feature set will meet 90+% of the needs that Windows/Web applications have, it consumes less resources than SQL Server, and the reliability is stellar.
This article shows you why you should believe this to be the case and why, if you haven't started using MySQL on Windows yet, you really should think about doing so.
MySQL on Windows? Absolutely! [mysql.com]