That command's location is /usr/bin/mysql_install_db
If you don't have it, then you probably don't have mysql installed, or properly installed.
First step: download the mysql package
here
Next, you config it like so:
Code:
mysql_install_db
chown -R mysql:mysql /var/lib/mysql
chmod 755 /etc/rc.d/rc.mysqld
/etc/rc.d/rc.mysqld start
mysqladmin -u root password your_mysql-admin_password_here