Create my.cnf file in your home directory. The file contents should be:

[server]
user=martin
basedir=/home/martin/mysql
datadir=/home/martin/sql_data
socket=/home/martin/socket
port=3666

Go to the /home/martin/mysql directory and execute:

./scripts/mysql_install_db --defaults-file=~/my.cnf --user=martin --basedir=/home/martin/mysql --datadir=/home/martin/sql_data --socket=/home/martin/socket

Note that --defaults-file MUST be the first parameter, otherwise it won't work! It's a MySQL bug.

Your MySQL server is ready. Start it with this command:

./bin/mysqld_safe --defaults-file=~/my.cnf &

Connecting to server:

mysql -h 127.0.0.1 -P 3666 -u root -p (using tcp)

or

mysql --socket=/home/martin/socket -u root -p (using unix socket)

Shutting down server:

mysqladmin -h 127.0.0.1 -P 3666 -u root shutdown(using tcp)

or

mysqladmin --socket=/home/martin/socket -u root shutdown (using unix socket)