Create an empty database named "sdb". It can be done using MySQL Workbench. Database tab > Query Database > Connect > Click on the button "Create a new schema in the connected server".
MySQL Server must be up for the next step.
Configure the SDB
Download the latest distribution from here. Release 1.3.6 was used.
Set the environment variables (need to use cygwin) as stated here.
Edit accordingly the file
$SDBROOT/Store/sdb-mysql-innodb.ttl
Rename it to sdb.ttl and move it to
$SDBROOT/bin
Move the MySql Driver (jar file downloaded here) in
$SDBROOT/lib
Run the command
$SDBROOT/bin/sdbconfig --sdb=sdb.ttl --create
Follow the instructions on Jena Website (Initialising the database)