Install MySQL
Install the ODBC Connector
Install the MySQL Server and everything needed: http://dev.mysql.com/downloads/installer/
You can see Instructions to set up the server.
Configure the SDB
1) Set the environment variables (need to use cygwin) as stated here.
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