mysql.com works just as well (.org is a redirector...)
are you sure you didn't just type the wrong username/password? i've had that happen before.
but yah, getting php/mysql up and running is alot easier with those little installer apps...
i've been using sqlyog (its a graphical mysql gui, currently shareware, but i found an old version from back when it was freeware... $50 so i can import data from csv occaisionally was a tad steep...)