If you are using Debian linux, you can install MySQL with a simple: sudo apt-cache install mysql-server. This will take care of all the group and user creations, the mysql_install_db script, etc. It will also all a script to init.d which will start the server automatically when the machine restarts, something that was missed out of the instructions above.

The windows installer is almost as easy. Download the installer and run and all you need to do is answer basic questions about the installation.

To fine tune MySQL you need to play with a file called my.cnf which under linux lives in /etc/my.cnf and using the windows installer end up in the MySQL Server [version] directory.

my.cnf allows you to set parameters concerning how much memory is allocated for the query cache, for joins, which port to accept connections on (default is 3306), where the data lives, how many letters to include in a full-text index, etc, etc. You can even use two versions of my.cnf to run two instances of MySQL on the same box using different ports and set the path to my.cnf when you install the db, ie, when you run mysql_install_db.

The MySQL manual is an excellent source of information for all of this http://dev.mysql.com/doc/ as it includes the official documentation from the MySQL developers and also lots of helpful comments from users to avoid gotchas.