What?? MySQL host? Are you talking about the program mysql that you use to host databases, or are you talking about a database you'd like to host?
Get mysql at
www.mysql.com
Install mysql
download database that works with your hosting .exe files (4.4DR1 uses different databases than 4.3)
Use the database (there are readmes in the Tutorials forum)
Adjust .ini files.
If all else fails, read the manual.