I recently installed MySQL 5 on Windows 2003 and tried configuring an instance. Everything worked fine until I got to "Applying Security settings", at which point it gave me the above error (Can't connect to MySQL server on 'localhost' (10061)
).
I do have a port 3306 exception in my firewall for 'MySQL Server'.
Got this error on Windows because my mysqld.exe wasn't running.
Ran "C:\Program Files\MySQL\MySQL Server 5.5\bin\mysqld" --install from the command line to add it to my services, ran services.msc (start -> run), found the MySQL service and started it.
Didn't have to worry about it from there on out.