re-install mysql, before you do that open all connections to port 3306 from your router, if that does not work check your firewall is off while installing or if you do not like to have your firewall of, open port 3306 on your firewall.
Vista and XP reference guide to opening firewalls for programs : Here
another thing is that, when you un-install it somtimes the foldor doesnt delete in program files = errors on install =_= did it to me and it took me days to understand what was cuasing it.
That is simply becuase it stil stores the saved authentication / setup for the next time you install it, so if you get the setup wrong yes thats a good idea =D
Are you using MySQL 5.0 and not a later version?
MySQL 5.0 yes.
Death to all but Metal.