Installation Problem with 4.0.20

[dave.prout]

I've just downloaded 4.0.20 for windows
 
Installed on the D: drive. Set up an .ini pointing at D: drive
 
Ran  D:\mysql\bin\mysqld
 
When I then ran mysqlshow I only had the test database, not the mysql database as the 
documentation said I should.
 
I then deleted everything and installed again, and got the same result.
 
Does this mean the installation has failed ?
 
Dave
UK