Installing MySQL is a uniform process across all versions of Windows. The only difference is that, under later releases (Windows NT, Windows 2000, and Windows XP), it can be installed as a service so that it's always available.
Point your browser to http://www.mysql.com/downloads/mysql-3.23.html. Click the Windows download link.
Next you'll choose a site from which to download; try to pick one at least in the same country as your computer (although I suppose you could try downloading it from Chile, if that kind of thing appeals to you).
Save the ZIP file to somewhere you can find it; the My Documents folder or the desktop generally work best.
When the ...