Farber -
Step 1 - Install and get Cliffs of Dover dedicated server running. (I am assuming you have that going so far)
Step 2 - Install the MySQL Database You can download the 64bit or 32bit from this link
http://dev.mysql.com/downloads/mysql/ depending on your server. Use the MSI installer version as it is simple.
Step 3 - Install the MySQL Workbench from here
http://dev.mysql.com/downloads/workbench/5.2.html This is a 32bit only. It may ask for the MS C++ distribution that you will have to install too.
Those are the 1st few steps.