from the manual:
Installation

By using the --with-mysql[=DIR] configuration option you enable PHP to access MySQL databases.

In PHP 4, the option --with-mysql is enabled by default. To disable this default behavior, you may use the --without-mysql configure option. Also in PHP 4, if you enable MySQL without specifying the path to the MySQL install DIR, PHP will use the bundled MySQL client libraries. In Windows, there is no DLL, it's simply built into PHP 4. Users who run other applications that use MySQL (for example, auth-mysql) should not use the bundled library, but rather specify the path to MySQL's install directory, like so: --with-mysql=/path/to/mysql. This will force PHP to use the client libraries installed by MySQL, thus avoiding any conflicts.

In PHP 5, MySQL is no longer enabled by default, nor is the MySQL library bundled with PHP. Read this FAQ for details on why.

This MySQL extension will not work with MySQL versions greater than 4.1.0. For that, use MySQLi.