If you are not familiar with SQL and mysql in particular you might also want to install phpMyAdmin. How to secure it depends pretty much on how you want to use it. For sure you'll want to set a password for the mysql root user. If the apps you are going to use run on the same machine you'll want to set it up to not listen on your network interfaces. Of course having the machine behind a firewall would be very helpful.
Yes, be carefull. MySQL can be very helpfull and down right neccessary (if you do not want to spend any money on a DB) but it is also very exploitable, especially if setup incorrectly.