Hey Graham,
Before anyone else hollers at you, move this over to the CentOS list. This one is for people doing development work on CentOS itself. :)
MySQL comes in several packages. Ensure you have mysql, mysql-libs, and mysql-server installed, and that MySQL is actually running on the machine.
If you get stuck, send over the results of the following:
service mysqld status
tail /var/log/mysqld.log
Leam