Howdy. For example, if you are using Apache as your webserver, you can INSTALL MySQL and enable/install the PHP Apache module. When you install MySQL, you'll have to set a MySQL root password which is different from your computer's root. You should also consider installing phpMyAdmin or other MySQL management utility. All of this is easy or difficult depending upon your OS and experience.
phpMyAdmin will let you easily connect to your MySQL db's and define fields and tables or you can write a .php script to test a connection (www.php.net has a connect script as an example).