There is a bug in MySQL 5.0.51a that prevents the configuration wizard from starting after the install completes.

When you try to run MySQLInstanceConfig.exe manually you get this:

"The application has failed to start because its side-by-side configuration is incorrect. Please see the application event log for more detail."

The fix essentially means hacking a bit of xml embedded in the executable file using a small tool that is freely downloadable and recompiling - the tool makes this pretty trivial, but I wonder why it hasn't been fixed...?

Full details on the fix is here.