While we cannot distribute precompiled Windows binaries of PennMUSH with MySQL support compiled in and enabled, I have written a README for building your own binary of PennMUSH using the Windows installation of MySQL available from the MySQL website. The README.MySQL is currently available as a part of the 1.7.7p34 tarball, in the win32 directory.
My instructions were primarily drawn from using MSVC++ to compile the binaries, but they should work with little to no changes in a MSys + MinGW environment and a more standard unix-like build process (./Configure -d ; make ; make install ).
With that said, the MySQL support is still relatively new, and as such hasn't received extensive testing upon Windows by me. I will attempt to provide what support I can for issues that arise.