mysql understands the standard command-line options for specifying connection parameters. So to invoke mysql interactively from the command line, you have to specify any necessary connection parameters after the command name like mysql --user=user_name --password=password --host=host_name. Take example:
shell> mysql --user=root --password=root --host=localhost
You can also use short forms:
shell> mysql -u root -proot -h localhost
You can also ask mysql providing a database name to select that database as the default database:
shell> mysql -u user_name -p -h host_name db_name
On Windows, you can do like this:
C:\Program Files\MySQL\MySQL Server 5.0\bin>mysql -u user_name -p -h host_name db_name