it's mysql
d-nt.exe not mysql-nt.exe
Use the win32 installer. Also, since you've had a previous install remove any directories that may still exist and run a search for my*.cnf to remove any lurking MySQL configuration files.
Once you've run the installer open a command prompt, navigate to the bin directory where you installed MySQL and run "msqld-nt.exe --install" without the quotes. This will set up MySQL as a service so it is always running whenever your PC starts.
If you still get the issue try copying the file my-small.cnf from your mysql install dir to the root of your c:\ drive and rename it to my.cnf.
If you still can't get it working uninstall PHP, MySQL and Apache and use WAMP from
http://www.en.wampserver.com/
It will set up PHP5, Apache and MySQL 4 automatically and should solve your problem
hope that helps