I just bought Build your own database driven website with PHP and MySQL 3rd edition from Sitepoint and I'm trying to install MySQL on my system and am very lost doing it. I downloaded version 4.1.5 on my machine then opening it up and nothing but a black screen comes up that looks like a DOS prompt or something? The book keeps talking about making a "my.cnf" file and saving it to the root directory, but from what I could gather from the website, it says with the new version this isn't nessessary?

I'm so lost. Any help is appreciated greatly