Installing MySQL

Don’t know if this is the appropriate spot for this, but I’m having trouble configuring MySQL 4.1 on my Windows XP machine. It’s driving me batty, I’ve been working at it for about 3 hours now trying to get it installed. I’ve followed all the various tutorials I could find on installing and configuring it, but when I type mysqladmin.exe at the command prompt, it brings up some kind of list of properties, but it doesn’t actually start the program. Says something about not being being able to connect to localhost.

If anyone could help me, I would be forever indebted to you.