At the end of January 2005 a new worm-like malware named Forbot
spread across the Internet, targeting poorly configured MySQL
installations and exploiting them to gain access to the Windows host
machines. With a few simple steps MySQL on Windows can be secured
to prevent malicious users from accessing MySQL and the data it
contains. The key steps are to secure the default user accounts,
limit external access, and use strong passwords.
Read the article which includes screenshots and sample code :
Securing a MySQL Server on Windows