MYsql is the open source database software - that was installed on the server. You should download WinSCP and transfer your files to the appropriate directory. You will need to find out your serverhost, username, password and file protocol (probably SSH).
I am guessing you haven't set up a database, in which case don't worry about MYSQL. But if you are setting up a database, find out how to create a php file to connect to the database and go to php.net or some php tutorial like tizag.com to find out how to use it.