For a new MySQL 4.1 / MySQL 5.0 and up, if we are installing the database then mysqld would automatically installed as a windows service. But, if we are using MySQL 4.0 then we must manually installing mysqld as a windows service. How to do that ?
(1) Install your MySQL 4.0 database on your computer. For example on C:\mysql directory
(2) Choose your MySQL configuration file (my-huge.cnf, my-innodb-heavy-4G, my-large, my-medium, my-small)
(3) Copy your selected MySQL configuration file to C:\ and rename that configuration file with a new name
ren my-huge.cnf my-4.0.26.cnf
(4) Go to the bin directory of your MySQL
(5) Type this command to install mysqld as a windows service
mysqld --install MySQL-4.0.26 --defaults-file=C:\my-4.0.26.cnf
(6) Done. If you want your mysqld automatically running every your computer starting up then you must go to the Start -> Control Panel -> Administrative Tools -> Services
(7) Right click your MySQL service name on services list and choose Properties
(8) Choose Startup type: Automatic
(9) Click OK and your mysqld would automatically running every your computer starting up.