I honestly have zero idea how in the world to do this on windows- fortunately the way I check on linux is more or less the same.
get nmap (from insecure.org) and from cmd prompt (not as admin!) the following:
nmap -p- -sV -PN localhost
will show you a list of open ports and the service (more or less- exactly what it is). If nmap can't scan the localhost on windows (which is a problem in older versions) you can try:
nmap --iflist or nmap -iflist (its one of those two).
Check for port 3306 actually being open. That's the first thing you should check IMO.
Starting Nmap 5.21 ( http://nmap.org ) at 2011-08-10 03:08 EDT
Nmap scan report for localhost (127.0.0.1)
Host is up (0.00013s latency).
Not shown: 65532 closed ports
PORT STATE SERVICE
1999/tcp open apache
2001/tcp open apache
3306/tcp open mysql
Nmap done: 1 IP address (1 host up) scanned in 0.77 seconds
Edit: also don't run services like that as a super user... that's asking for trouble regardless of platform.