Aside from some of the issues that others are dealing with regarding version 0.6.2, I've successfully setup a PEQ Velious RC1 database using the following guide as a guideline (it doesn't work if you follow step by step):
http://www.eqemulator.net/forums/showthread.php?t=18707
When you download the database files, the *.sql files should be extracted to (assuming default installation) C:\mysql\bin
I too have set this up on WinXP Pro SP2.
Good luck.
J