apt-cyg-main install mysqld
apt-cyg-main install mysql
Then run:
# To begin MySQL setup run the following:
mysql_install_db
# Run mysql - you'll get a firewall alert from windows if you have it active.
mysqld_safe &
# Immediately following that, it would be wise to run the following:
mysql_secure_installation
You should prevent remote access, create your own user matching your cygwin username like 'CMCDragonkai'@'localhost'.
Then login via: mysql.
Shut it down with: mysqladmin shutdown.