First off, you will need to have Apache and MySQL installed. You can download Apache at http://www.apache.org/dist/. For information on installing Apache, see Joey's Apache Guide. Once Apache is set up, you will need MySQL installed and running. You can download the MySQL source from http://www.mysql.com and for information on installing and setting up MySQL, you can read DJG's MySQL Guide.
After that, you need to retrieve the source for the mod_auth_mysql source.
Place the source into your apache tree in the libexec directory. Mine is located at