I found over there a way to get a MySQL server running in your system without having to use an installator.
You'll need to get a noinstall version of MySQL. You can find it here: http://dev.mysql.com/downloads/mysql/5.1.html
Then, you have to unpack it. You can do it into a directory like c:\MySQLServer. To start it up, you could use a script like this one:
This script must be in the same directory in which MySQL is.@echo off
echo Launching mysqld listening on port 3306
bin\mysqld --user=root --datadir=data --port=3306 --basedir=.
Now, you just have to run the script.
I'd really prefer to use some other scripting language like bash, but this is windows...