I dug around on google for about a half hour and dug up a tutorial for mysql. Between that and the example program that actually came with the server it took me about an hour to get the connection up and running.
I'm not sure why I didn't look into mysql before this, it really is ridiculously simple to set up a db connection and call a query.
Now I'm going to wrap it into a class to make it easier to call queries and call it done. I'm going to wrap it similair to how I did for another system, just overload the () operator so I can do this:
CMySql Query("SELECT * FROM TEST WHERE EntityId > 5");
printf("EntityId: %s Value: %s", Query(0), Query(1));
So I guess the next step is to finish the entity classes and make tables in the database to represent them.