1) Choose an installation package and Download it.

2) I picked the "Essentials Package".
See Using the MySQL Installation Wizard

• Custom Option: Would enable you to pick a different location then the default and review the installed options.

3) On the last screen you will be given the option to configure your new server with the MySQL Configuration Wizard

Note (for later manual installs ?):
The MySQL Installation Wizard creates 1 Windows registry key in a typical install situation, located in HKEY_LOCAL_MACHINE\SOFTWARE\MySQL AB.
Then a sub-key named after the major version of the server that is being installed, such as MySQL Server 4.1. So the path of the sub-key would be HKEY_LOCAL_MACHINE\SOFTWARE\MySQL AB\MySQL Server 4.1

 That sub-key then contains two string values, Location and Version.
Location: The path to the installation directory. In a default installation it contains C:\Program Files\MySQL\MySQL Server 4.1\.
Version: The release number. For example, for an installation of MySQL Server 4.1.22, the key contains a value of 4.1.22.

These registry keys are used to help external tools identify the installed location of the MySQL server, preventing a complete scan of the hard-disk to determine the installation path of the MySQL server. The registry keys are not required to run the server, and if you install MySQL using the noinstall Zip archive, the registry keys are not created.

For more information about the created service and registry location see: Install MySQL as a Service
The default value for ImagePath my look like this: "C:\Program Files\MySQL\MySQL Server 4.1\bin\mysqld-nt" --defaults-file="C:\Program Files\MySQL\MySQL Server 4.1\my.ini" MySQL

Here is what the default my.ini looks like (Configuration wizard options: Developer Machine + Transactional Database Only + Decision support) :

[client]
port=3306

[mysql]
default-character-set=latin1

[mysqld]
port=3306
basedir="C:/Program Files/MySQL/MySQL Server 4.1/"
datadir="C:/Program Files/MySQL/MySQL Server 4.1/Data/"
default-character-set=latin1
default-storage-engine=INNODB
max_connections=10
query_cache_size=0
table_cache=256
tmp_table_size=18M
thread_cache_size=8
myisam_max_sort_file_size=100G
myisam_max_extra_sort_file_size=100G
myisam_sort_buffer_size=35M
key_buffer_size=25M
read_buffer_size=64K
read_rnd_buffer_size=256K
sort_buffer_size=256K
innodb_data_home_dir="E:/mysql/41/innodb/"
innodb_additional_mem_pool_size=2M
innodb_flush_log_at_trx_commit=1
innodb_log_buffer_size=1M
innodb_buffer_pool_size=47M
innodb_log_file_size=24M
innodb_thread_concurrency=8

Here is what the default my.ini looks like (Configuration wizard options: Server Machine + Multifunctional Database + OLTP + Enable TCP/IP +Standard Character Set) :

[client]
port=3306

[mysql]
default-character-set=latin1


[mysqld]
port=3306
basedir="C:/Program Files/MySQL/MySQL Server 4.1/"
datadir="C:/Program Files/MySQL/MySQL Server 4.1/Data/"
default-character-set=latin1
default-storage-engine=INNODB
max_connections=800
query_cache_size=33M
table_cache=1520
tmp_table_size=16M
thread_cache_size=38
myisam_max_sort_file_size=100G
myisam_max_extra_sort_file_size=100G
myisam_sort_buffer_size=12M
key_buffer_size=48M
read_buffer_size=64K
read_rnd_buffer_size=256K
sort_buffer_size=256K
innodb_additional_mem_pool_size=2M
innodb_flush_log_at_trx_commit=1
innodb_log_buffer_size=1M
innodb_buffer_pool_size=93M
innodb_log_file_size=19M
innodb_thread_concurrency=8

Here is what the default my.ini looks like (Configuration wizard options: Dedicated MySQL Server + Non-Transactional Database Only + OLTP + Enable TCP/IP + Standard Character Set) :

[client]
port=3306

[mysql]
default-character-set=latin1

[mysqld]
port=3306
basedir="C:/Program Files/MySQL/MySQL Server 4.1/"
datadir="C:/Program Files/MySQL/MySQL Server 4.1/Data/"
default-character-set=latin1
default-storage-engine=MYISAM
max_connections=800
query_cache_size=74M
table_cache=1520
tmp_table_size=26M
thread_cache_size=38
myisam_max_sort_file_size=100G
myisam_max_extra_sort_file_size=100G
myisam_sort_buffer_size=26M
key_buffer_size=225M
read_buffer_size=64K
read_rnd_buffer_size=256K
sort_buffer_size=256K
skip-innodb
innodb_additional_mem_pool_size=2M
innodb_flush_log_at_trx_commit=1
innodb_log_buffer_size=1M
innodb_buffer_pool_size=8M
innodb_log_file_size=19M
innodb_thread_concurrency=8