Install MySql on Cygwin+WIN/XP

I want to set up a WIN+Cygwin+PHP+MySql enviornment.
 
So, following the instructions from your website:
 
1) Installed mysql 4.1 server on WIN/XP, and that is workable;
 
2) Installed from mysql-4.1.13a.tar.gz with "without-server" option;
 
3) I found mysql.exe in the directory of /usr/local/bin. Try the command of
 
./mysql -h 127.0.0.1
 
there appeared the error message:
 
ERROR 1045 (28000): Access denied for user 'Jean' @'localhost' (using password: No)
 
where 'Jean' is my user account for WIN/XP.
 
Can you tell me the reason why it does not work normally?

		
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