Need help from some gurus!

I want to learn when connecting to mysql do we need to run mysql from the command prompt explicitly.Because until yesterday I thought that when using myodbc driver it will
connect to db without running mysql .While connecting to access dbs by using
dao or ado we don't run access program explicitly odbc provides the connection through drivers.I asked this question coz until I run the mysql I got the error "Can't connect to MySQL server on 'localhost'(10061)".If it is can you give the difference of mysql
from others?