trouble installing MySQLdb (cygwin) + Bonus question (no replies)

Hi,
I'm a python newbie. By newbie I mean two days ago.
It was suggested to me that I work with python.
Unfortunately at work I must run this on a windows machiene.

However, I am having difficultly installing MySQLdb.

First is it even possible under my current environment?
I am using python through cygwin, and have mySQL installed in windows

which mysql returns:
/cygdrive/c/Program Files/MySQL/MySQL Server 5.5/bin/mysql

when I run
python setup.py build it returns:
$ python setup.py build
/bin/sh: mysql_config: command not found
Traceback (most recent call last):
File "setup.py", line 15, in <module>
metadata, options = get_config()
File "/home/Matt/MySQL-python-1.2.3/setup_posix.py", line 43, in get_config
libs = mysql_config("libs_r")
File "/home/Matt/MySQL-python-1.2.3/setup_posix.py", line 24, in mysql_config
raise EnvironmentError("%s not found" % (mysql_config.path,))
EnvironmentError: mysql_config not found

I've explored various avenues all day to no avail. Can anyone offer a solution or a direction to work towards. One avenue was ignorning the check for posix, and having it run setup_windows, but this just brings in problems with _winreg(?) seeing how I have a posix version of python through cygwin.

Lastly, for the bonus question.
Why MySQLdb why not something like this:

import os
cmd = 'mysql -uroot -pxxx db -e "SELECT * FROM tblxxx;"'
os.system(cmd)

--

why is this a poor idea?

Best,
Matt