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TO INSTALL MYSQL IN WINDOWS (This step is not relevant if you intend to use mysql in your sandbox)
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Go to https://dev.mysql.com/downloads/mysql/ to download Mysql installer.
TO INSTALL IN A SANDBOX
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There is no need to install mysql server as the sandbox comes pre-installed in sandbox hadoop distributions like the cloudera quickstart vm or Hortonworks sandbox.
TO DOWNLOAD AND INSTALL THE YELP DATASET INTO MYSQL SERVER
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Follow in the instructions in the page https://www.yelp.com/dataset/documentation/sql
However from the instruction in the page, note that between Steps 3 and 4, untar the downloaded tar file (yelp_sql.tar), after which you will extract the untarred file (yelp_sql) to get a yelp_sql.sql file.
Then execute the statement
mysql -u root -p yelp_db < yelp.sql
also install a yelp user for the database
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Log in as root to mysql client, and run the command
grant all on yelp_db.* to 'yelp'@'%' identified by 'password';