Just a note to let folks know that the latest mySQL installer has a minor glitch in it.
It seems that it installs "my.ini" in C:\documents and settings\all users\application data\mySQL\mySQL Server 5.5
While the point n' click link in the windows menu under "mysql server 5.5 > commandline client" targets C:\program Files\mySQL\mySQL server 5.5\my.ini
There is no "my.ini" at that location so all you'll get is a flash of a command prompt widow
Retargeting it to reflect the proper path to "my.ini" fixes it
In my case the correct target is
"C:\Program Files\MySQL\MySQL Server 5.5\bin\mysql.exe" "--defaults-file=C:\Documents and Settings\All Users\Application Data\MySQL\MySQL Server 5.5\my.ini" "-uroot" "-p"