It's free to download the Windows version from http://mysql.com (I think the URL is?)
Once you get your server installed, you need to install terminal services or some other remote desktop software (or I guess you could work on it directly). MySQL can be installed just by running the EXE like installing anything on your regular windows PC, you may need to change some settings mind.
The only real thing that comes pre-installed is ASP as it's part of IIS. I would double check that they don't want MSSQL rather than MySQL as MSSQL is usually linked with ASP, although MySQL is a free alternative and MSSQL is expensive!
That should get you started - do you have any experience of IIS? If you need any help i'd be glad to offer my assistance too. IIS is a friendly webserver to tinker with