There is a default modules directory path where things get stored. The MySql module will probably go into site-packages which is in this path.

Try (in interactive python):
import sys
sys.path

You'll see what directories modules can be placed into.

Take a look at the docs for this:

http://www.python.org/doc/current/lib/module-sys.html

It's basically initialised in from the PYTHONPATH environment variable and some installation defaults.

Cheers,

Richard