Go to
http://dev.mysql.com/doc/mysql/en/installing.html (this is part of the official mysql manual). Skip the main part (although this is of course valuable) and read the 3rd comment which is a quick guide. It got me started!
Make sure you are logged on a root until you set up your own...
I had this problem a long time ago, and don't remember exactly how to solve it, but it has to do with ownership and permissions - suggest you try the mysql mailing list from www.mysql.com as it comes up every so often. Sorry not to be of more help.
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