AFAIR, there should be no problems with mySQL under Win&ASP. You can install myODBC or myOleDB drivers – and get connection to mySQL from your ASP script. I didn't try, but…
Sure it works, but there are a few catches as always… You may want check out MySql's manual (MyODBC section for example) or dwam.nt web site (http://www.dwam.net/mysql/).