1) Set the environment variables (need to use cygwin if using Windows) as stated here http://jena.apache.org/documentation/sdb/quickstart.html
2) Edit the file $SDBROOT/Store/sdb-mysql-innodb.ttl according to the needs, rename it to sdb.ttl and place it in $SDBROOT/bin
3) Put the MySql Driver (jar file found in http://dev.mysql.com/downloads/connector/j/5.0.html) in $SDBROOT/lib
4) Run the command $SDBROOT/bin/sdbconfig --sdb=sdb.ttl --create
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