Which guide ?
Do you have a c:\mysql directory ? If so, mysql.exe should be in c:\mysql\bin.
You could try start/run/cmd, then type
cd \
dir mysql.exe /s
That will show where your mysql.exe is, e.g.
	Code:
	Microsoft Windows XP [Version 5.1.2600]
(C) Copyright 1985-2001 Microsoft Corp.
C:\Documents and Settings\Steve.P4>cd \
C:\>dir mysql.exe /s
 Volume in drive C has no label.
 Volume Serial Number is 387D-515D
 Directory of C:\mysql\bin
16/03/2003  12:21           294,969 mysql.exe
               1 File(s)        294,969 bytes
C:\>