Oh and must I download MySQL? Is it a server that must be running while I run my program?
It's a server that you need to download, although you can have it running on a completely different PC if you like.
Generally, you need at least the Client libraries on your PC (on all OSes) for the Blitz wrapper to plug into.
My Database module has been tested on all platforms, and comes fully documented, with examples for each database type.
And, unlike any of the other database modules I've come across, BaH.Database also supports the use of Prepared Statements.
Depends what you need, of course... and something smaller like Vertex's module might be everything that you need :-)