There are lots of 'em.
i guess one is good for performance, other for small user group etc..

But is there a document that explains which of 'em should be used when?

mysql.exe
mysqld.exe
mysql-nt.exe
...
etc.....

From the MySQL documentation:
Binary          Description
mysqld           Compiled with full debugging and automatic memory allocation checking, symbolic links, and InnoDB and BDB tables.
mysqld-opt    Optimized binary. From version 4.0 on, InnoDB is enabled. Before 4.0, this server includes no transactional table support.
mysqld-nt       Optimized binary for NT/2000/XP with support for named pipes.
mysqld-max       Optimized binary with support for symbolic links, and InnoDB and BDB tables.
mysqld-max-nt    Like mysqld-max, but compiled with support for named pipes.
A more detailed description: http://www.mysql.com/doc/en/Windows_select_server.html