Ok, try this:
Open the MS Dos prompt then use the CD command to traverse to the directory where the MySQL.exe program is located.
Default is C:\MySQL\Bin
So you could use
CD C:\MySQL\Bin
once your their then you can run your command by typing :
mySQL [enter]
Which will spit out some lines of text saying that your connected to the DB.
Then you'll see a prompt like:
MySQL>
Enter any commands you want to execute their.
Also try out that new article:
http://www.flash-db.com/ApachePHPSQLit goes into some details further along like page 7 or 8.