We made a slight mistake with MySQL when creating v0.4, and will try to have it fixed for the next release. Ghorthas created this list of commands to issue as root:
$ chown -R mysql:users /var/lib/mysql
$ chmod +x /etc/rc.d/rc.mysqld
$ /usr/bin/mysql_install_db
$ /etc/rc.d/rc.mysqld start
From there, you can use the "mysql" command to create databases, import data, or anything else you need to do.