Can't you use the software on http://dev.mysql.com/downloads/mysql/5.0.html?
Can you tell me what is going wrong? The client (mysql) and server (mysqld) should suffice, except if you're
connecting to MySql from websites, programs (Java, C++, etc), in which case you might need additional drivers/tools.
Do you get any error messages?
Have you confirmed that the server is running? The client won't work if the server isn't running or is inaccessible.