AFAIK
You can't use MySQL.
You can use Microsoft SQL Server 2005 Express Edition.
However I have yet to get DNN installed, with the above.
I am told it is supposed to work and many do have it working.
You'll probably find the documentation difficult especially the SQL connectionStrings. IIS settings, (which I'm sure has steps missing) and database security and user settings.
Get hold of an experienced poster if you can, (Preferably core Team member or general DNN head) and get them to guide you.
Bear in mind that different people have different setups (and therfore different security accounts and SQL settings) and different skill sets, one person may get you so far, then you will need another expert.
If you don't expect it to be easy, you won't be disappointed; and you might (just might) be surprised. (I hope you do!)
Good luck, and may the source be with you.
R