How can I connect to MySQL ?

You need an OleDB driver to connect to MySQL. Please download one from here:
http://sourceforge.net/projects/myoledb/
The connection string in QImport is:
Provider=MySqlProv.3.9;Data Source=mycatalog;Password=mypwd;User ID=root;Location=localhost;Extended Properties=""

alternativley

Download and install the MySQL Connector/ODBC 5.1.

Then you either can create from the Microsoft ODBC Administrator either System or File DSNs. The connection string then is DSN=yourdsnname;

Alternatively you can use a full connection string like this:

Local database

Driver={MySQL ODBC 5.1 Driver}; Server=localhost; Database=myDataBase; User=myUsername; Password=myPassword; Option=3;

Remote database

Driver={MySQL ODBC 5.1 Driver};Server=myServerAddress;Database=myDataBase;User=myUsername; Password=myPassword;Option=3;

Specifying TCP/IP port

Driver={MySQL ODBC 5.1 Driver}; Server=myServerAddress; Port=3306; Database=myDataBase; User=myUsername; Password=myPassword; Option=3;

The driver defaults to port value 3306, if not specified in the connection string, as 3306 is the default port for MySQL.