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Hmm.. are you running it on windows or linux? just wonder, i have v5.02 installed and i run:
mysql -u root -p
and it request a password for me to login to the server via a command prompt.
if you are running windows, and want to know if it is setup properly, try the GUI admin tool Mysql Administrator (it is produced by the mysql developers afaik you can get it from their site) and see if that can connect.
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