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Run all 3 applications within the download: mysql-5.1.X-osx10.5-x86.pkg, MySQLStartupItem.pkg and MySQL.prefPane.
MySQL can be started/stopped via the the MySQL panel in System preferences, or via the command-line:
sudo /Library/StartupItems/MySQLCOM/MySQLCOM {start|stop|restart}
Now it is installed you should remove the anonymous login accounts and add a password to the root account. There is plenty of information on securing MySQL available here.
Configure PHP in part III.