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I haven't messed around much with MySQL on Windows, but after you set it up, I'd expect for you to be able to install a program like phpMyAdmin on your webserver and connect to the MySQL server as the "root" user. From there, you could create and/or import databases.
I can't configure the MySQL server in the Installer with the default settings in the screenshot above and the only thing I edited was my password. These are the errors I'm getting:
mysql-server-5.5-winx64-gpl:6 - Looking for valid template
mysql-server-5.5-winx64-gpl:13 - Found valid template.
mysql-server-5.5-winx64-gpl:20 - Attempting to process template.
mysql-server-5.5-winx64-gpl:26 - Processed template.
mysql-server-5.5-winx64-gpl:33 - Attempting to configure service.
mysql-server-5.5-winx64-gpl:40 - Configured service.
mysql-server-5.5-winx64-gpl:46 - Attempting to start service.
mysql-server-5.5-winx64-gpl:100 - Unable to configure service.
mysql-server-5.5-winx64-gpl:100 - Product configuration controller finished configuration.
examples-5.5:10 - Checking if there are any features installed that need configuration.
examples-5.5:100 - Could not open connection to database
examples-5.5:100 - Product configuration controller finished configuration.
examples-5.5:100 - Could not open connection to database
examples-5.5:100 - Product configuration controller finished configuration.
mysql-server-5.5-winx64-gpl:6 - Looking for valid template
mysql-server-5.5-winx64-gpl:13 - Found valid template.
mysql-server-5.5-winx64-gpl:20 - Attempting to process template.
mysql-server-5.5-winx64-gpl:26 - Processed template.
mysql-server-5.5-winx64-gpl:33 - Attempting to configure service.
mysql-server-5.5-winx64-gpl:40 - Configured service.
mysql-server-5.5-winx64-gpl:46 - Attempting to start service.
mysql-server-5.5-winx64-gpl:100 - Unable to configure service.
mysql-server-5.5-winx64-gpl:100 - Product configuration controller finished configuration.
There are several ways of handling the MySQL databases. Just as John said, you can use the phpmyAdmin tool (propably the easiest way for you).
I am using MySQL Workbench for interfacing with the MySQL server, a very powerful and excellent GUI interface written for exactly this purpose (altough I am using the Linux version, but there is also a Windows version). It is also offered by MySQL and I would advice using this program. Here is the URL:
I would also advice taking a look at the MySQL reference manual, everything is described in there, if you want to use a command line interface (start with chapter 3):
I also use NaviCat to connect to my local database and play wtih it. It's quite nifty. But yes, running a local webserver and throwing phpMyAdmin is definitely the easiest free way to do it.