MySQL is supported with the only change being that MySQL support is no longer enabled by default in PHP 5. This essentially means that PHP doesn't include the –with-mysql option in the configure line so that you must now manually do this when compiling PHP. Windows users will edit php.ini and enable the php_mysql.dll DLL as in PHP 4 no such DLL existed, it was simply built into your Windows PHP binaries.
Also, the MySQL client libraries are no longer bundled with PHP. More details on this topic are covered in the following FAQ and be sure to read the MySQL section for details on installing MySQL. An example configure line would be –with-mysql=/usr while Windows users will need the libmySQL.dll available to the system.