I was having some real headaches getting mysql to work with a fresh install of php5 and IIS on a windows XP machine earlier. I was eventually put out of my misery by this excellent how-to.
The trick is: do not use the installer - it comes without mysql support by default. Use the zip package and follow the relevant instaructions in the article mentioned above, to configure it for mysql support. In addition to the steps described, I also found I had to move my php.ini file to the windows directory for to be picked up.