I've moved your thread from the Microsoft SQL Server forum to the MySQL forum. It should get better answers here.
Depending on where you are getting this error message in the installation process, it could be either a network security issue (if the error appears as soon as you start your install), or it may be looking for your MySQL user and password. I believe this defaults to "root" and an empty string.
Maybe one of the MySQL folks that installs it more often than I do can help based on your original post. If you give more details about your problem, I'm sure that you'll get more help to solve it.
-PatP