Make sure you are in the directory where you extracted the load_player.sql file before you run mysql.
The instance configuration wizard helps you set up your username/password. Seeing as how you were already logged in, you don't have to worry about that part.
Just an FYI, you can add the database in the command line now that you have created one.
C:\peqdb\> mysql -u root -D peq -p
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