If you are looking at using it as a standalone then download it from mysql as Rudy says. If you are thinking of using it in conjunction with something like PHP and apache server and more then check out XAMPP at apachefriends.org you can download it and get phpmyadmin and more. it is a seemless install, takes only minutes to get it up and working. I found that the mysql was version 4.0 though and so i then downloaded 4.1 from mysql and installed that in the appropriate directory.
I know this might be jumping ahead but wanted to give you a good place to start if you were thinking of that. I found setting the three of mysql/php/apache seemless here while had a lot of difficulty getting them working when installing as separate items.
As for help forums this is a good one as are ones at sitepoint.com and devshed.com both of which Rudy and I frequent, though I bow to his expertise in all areas.