I have a fresh install of mysql and it works perfect, except that when I start up mysql it gives me this error message

Code:
Can't initialize InnoDB as 'innodb_data_file_path' is not set
But it still loads fine.

After reading a little, I found that there are different types of databases you can use in mysql. Which one is the best to use? Which one is the 'normal' one you use when you create a new database using phpMyAdmin or on Unix? What if I dont want to use the InnoDB type of database? Do I still have to set that variable in my.cnf to get rid of that error message? Thanks.