I have only done this once and the following worked for me (although there is probably a lot of better ways).
Dump your mysql db with the following
mysqldump -u[your username] -p [name of db] > [path to where you want to store you backup]
Hit return and you will be prompted for your password.
If all is well a backup will be made to the location you specified.
The backup is a textfile that contains a huge (if you db is huge) SQL create and insert statement.
Now you should be able (in theory) to copy this statement into Access and run the query to insert the data. However, if you have any fields that contain ' (i.e Micheal's web page) the statement will not work as Mysql delimits all ' with \ (ie. \') and Access won't like it.
So to remedy this I did a search and replace on all \ and replaced with ' so the data would look like this: Micheal''s web page.
This then worked for me.
Also remember that you must create the dd in Access NOT the tables the statement will do this for you, but it won't create the initiall db.