I need step by step instructions. I have downloaded if from the mysql website http://dev.mysql.com/usingmysql/java/
But now I am not to sure what to do from here? I'm sort of stuck..
Just put the JAR file in the runtime classpath. This is not environment-dependent.
How exactly to do that depends on what kind of application it is. If it's for example a plain vanilla Java application which you execute by java.exe, then use the -cp argument to specify the classpath.
java -cp .;/path/to/mysql.jar com.example.Foo
The classpath is basically a collection of paths to JAR files and/or .class files where Java should look for class definitions.