mysql 5 installation problem

[jimath]

hi everyone!
i use mysql 5.0.22 apache2 and phpmyadmin 2.8.2
when i try to install mysql5 its displayed the following message:

"the security settings could not be applied to the database because the
connection has failed with the following error: error nr 2003
cant connect to mysql server on localhost.
if a personal firewall runs on your machine please make sure that u have opened
the TCP port 3306 for connections."

i have already windows firewall displayed.
and i tried to install mysql 4.1 instead and everything ok.
whats wrong with mysql5 could u help?