On Taran's advice (and with his help as I was on dialup at the time) I downloaded and installed the DevSide bundle and it was very easy to set up.
I like the idea of being able to run them from a USB flash drive. I might have to download the Xampp bundle and give that a try.
Has MySQL 5 just been released? Or soon to be? Do the various bundle producers usually wait awhile to see how new versions pan out? The beta for MySQL 5 got a very good response, I believe, and they consider the 5 release candidate to be very stable so might that speed up its inclusion in the bundled set ups?