Question: If so where can I find the installation?

Answer: 
It's not installed by default in Mac OS X 10.5. You can install it via a package manager like MacPorts, or from the package on the [MySQL web site](http://dev.mysql.com/doc/refman/5.0/en/mac-os-x-installation.html).
If you follow [these instructions](http://hivelogic.com/articles/compiling-mysql-on-snow-leopard/), you can install MySQL by hand on Snow Leopard. (There are versions of the instructions for Leopard accessible on the site as well). It also contains instructions for registering MySQL with `launchd`, allowing you to just forget about it (it will be running if your computer is running), and also turn it off when you need to do so.