If you want to use the rpm you can use them, it may also do some of the configuration for you. To install just go to the RPM dir on the cd and type rpm -Uvh mysql-xx-x-x (the x's will be whatever version you have). Or if you have a rpm package manager you can use it as well to install.
If you went to
www.mysql.com and got the tar ball (.tar.gz) file you would have to compile it, but go with the rpm if thats more comfortable for you.