my.ini File 

There is a small text file called my.ini that is part of the MySQL installation.  It is usually found at
C:Program FilesMySQLMySQL Server 5.5
and usually looks like this:

[mysqld]
basedir="C:/Program Files/MySQL/MySQL Server 5.5/"
datadir="C:/mysql/data/"
default-storage-engine=MyISAM
skip-innodb
max_allowed_packet=40M

Or, if you are still using MySQL 5.0, then it might look like this:

[mysqld]
basedir="C:/Program Files/MySQL/MySQL Server 5.0/"
datadir="C:/mysql/data/"
skip-innodb

If you are a power user, you can look at the examples of alternate my.ini files in the same folder.  For example, open my-huge.ini and look under the [mysqld] section.  Selective copying of some of those Variables above into your my.ini file would help to take advantage of a more powerful server.   For example, here is a suggested my.ini file.  DO NOT change the existing path of the basedir or datadir.  The paths in the example below might not be the same as on your system.

[mysqld]
basedir="C:/Program Files/MySQL/MySQL Server 5.5/"
datadir="C:/mysql/data/"
default-storage-engine=MyISAM
skip-innodb
max_allowed_packet=40M

key_buffer = 384M
table_cache = 512
sort_buffer_size = 2M
read_buffer_size = 2M
read_rnd_buffer_size = 8M
myisam_sort_buffer_size = 64M
thread_cache_size = 8
query_cache_size = 32M
tmp_table_size = 32M
join_buffer_size = 128M

Because the my.ini file is the the Program Files folder, you will not be allowed by Windows to edit the file directly. There are two workarounds to the Windows security issue:
1. Launch Notepad by right click, Run as administrator.  Then, open the my.ini file from within Notepad by browsing to it. 
2. Copy and paste the entire my.ini file from an alternate temporary location into the target directory.

In both cases, stop the MySQL service before making the changes, and then restart the service after saving the changes.