I just setup mysql on my windows XP machine to run this blog localy with cfmx7. Here are the steps I used to do it.

1. install mysql
2. create a database with the 'create database'

3. add a dba user account with the 'grant' command

4. run the script to create the blog tables. i.e. 'mysql -u [username] -p [database] < [scriptname]

5. setup the new mysql jdbc connector
http://www.macromedia.com/go/6ef0253


6. create the datasource in cf administrator

Most of the instructions for doing all the mysql stuff are in the livedocs located at.
http://dev.mysql.com/doc/mysql/en/index.html