Jerry pretty much nailed it. You don't *have to* install it as root but it's best to do so. The mysqld daemon(s) should be restarted at each reboot and to do so effectively they should be started with the init.d or rc.d scripts as root for security and process priority reasons.
Have you verified with your host that mysql needs to be installed? Typically, that's a given for any virtual or dedicated setup I've seen. However some hosts that use a control panel like Ensim or CPanel don't automagically setup mysql but it's usually a simple click of a button in the admin panel to install it and get it running. However, I prefer a manual install that's somehow plugged in to get necessary patches and upgrades from the vendor.
Bottom line, it *shouldn't* take more than a couple hours from the time you enter a support ticket till it's done for your host to install it - as mySQL is a pretty standard webserver option.
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