Because I am running python in a (pylons/pyramid) virtualenv, I could not run the binary installers (helpfully) linked to previously.
I had problems following the steps with Willie's answer, but I determined that the problem is (probably) that I am running windows 7 x64 install, which puts the registry key for mysql in a slightly different location, specifically in my case (note: I am running version 5.5) in: "HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\MySQL AB\MySQL Server 5.5".
HOWEVER, "HKEY_LOCAL_MACHINE\" cannot be included in the path or it will fail.
Also, I had to do a restart between steps 3 and 4.
After working through all of this, IMO it would have been smarter to run the entire python dev environment from cygwin.