I hate to cry RTFM, but I suggest you have a read of these two threads and the exceptionally detailed installation instructions of MySQL (there are links in the threads to the relevant sections of the MySQL manuals).
http://www.linuxquestions.org/questi...ighlight=mysql
http://www.linuxquestions.org/questi...ighlight=mysql
Searching for "mysql" in the slack forum brings up ... well ...
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... quite a few threads. Most of them are all about not having created the correct mysql user or not creating the databases. I can see no reason why you would have to remove your actual databases between changing database server, although there may be a procedure for upgrading from 4 - 5, again, you'll have to RTM.
Good luck!
- Piete.