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There are no thumb rules as such.
Start digging under /etc . /etc/my.cnf is the global config file. Then there is /etc/rc.d/init.d/mysqld which is the resource control script. Find the directories referenced and wipe them one by one. Follow the instructions that come with the package ( README* and INSTALL* ) when compiling from source. Or install from an RPM if you prefer.
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