JDBC connector / Define a data Service

Hello , I want to define a new data service.

I define a name and select RBMS as DATASOURCE.

I select MYSQL

I write jdbc:mysql://localhost:3306/telephone

I enter the username and the password.

When I  clic on Test Connection I have a error : Drive class com.mysql.jdbc.Driver can not be loaded

I'm on windows XP, JDK 1.6 is instelled on,  and mysql is running with no error  (php myadmin is ok)

I have the same error with Oracle (Oracle SE on my computer).

I have a an another computer with ubuntu,jdk 1.06  and the error is the same.

Could you explain me what is the problem ?

Must I have to install extension ?

Best regards