MySQL is available for Windows, Linux and other Unix variants. The Windows version is a shareware, which must registered after evaluation. Need to shift completely to Linux . . . the Linux version is 100% free.
You can get MySQL from its web site: http://dev.mysql.com/downloads/. Get the GA version.
MySQL download – the Windows version
On the download page of MySQL web site, you'll find the links to Windows version.
According to the MySQL site the Windows version "contains both the Standard and Max server binaries. It also contains a version of the command-line client which uses the Cygwin library to provide command history and editing".
MySQL download – the Linux version
RPM download is recommend for Linux workstations. (Make sure you download all the RPMs; the MySQL server, client and development RPMs. Note: You need the MySQL client software for this tutorial. Check MySQL website, it might have a complete RPM package that contains all the RPMs in one download file). If you run Linux as a server, the tarball download might be better.