I guess you started at switching user to root.
su root (type password)
If you didn't download it, then it's in one of your disto's CD, like mine. In which case, you just type "urpmi mysql". Then follow instructions. Surf to directory /etc/rc.d/init.d/ and type "mysql restart". Then type "mysqladmin -u root password 'whateverpassword'". This is as far as i got, cause when i try the next steps, the password i typed doesn't work.
mysql -u root -p
mysql> create database mydb;
mysql> grant select, insert, delete, update, create, drop, index
on mydb.* to
myuser identified by 'hello';
mysql> flush privileges;
mysql> \q
Here's the link so you get more info about this.
http://vsbabu.org/mt/archives/2003/0...ndrake_91.html