To use MySQL with Python on the Zaurus you need two things: a MySQL database server and the pymysql module for Python. I'm not sure which you're looking for. Soundwave's post will get you to a version of the MySQL server that runs on the Zaurus. You also have the option of connecting via a network to a MySQL server running on another system.
For the pymsql module, you'll need to get one that matches your version of Python. My Python 2.4 image for Sharp ROMs (I really need a short catchy name for that beast
) already includes pymysql. If you're using the "Python for ARM-Linux" packages from www.vanille.de, I suspect there is a pymysql package in their feeds (however the site is "offline" right now as it appears they're preparing to release Python 2.4 packages). If you're using some other version of Python for the Zaurus, good luck ... you'll need to talk the maintainer into building and releasing a matching pymysql module.