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Go to the MySQL web site.
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Locate the download page for Connector/J. To do that, you may need to start by clicking the Community link, and the on the Connectors link. I found it HERE
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Save the zip file for the connector to your hard drive. The file is typically named some-thinglike mysql-connector-java-5.0.7.zip
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Unzip the zip file onto you hard drive. The unzipped file should include a JAR file for the driver. This file is typically named something like mysql-connector-java-5.0.7-bin.jar
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Copy the JAR file for the driver into the JDK directory: jre\lib\ext
Here is a copy of what I downloaded: mysql-connector-java-5.1.10.zip (3.69 mb)