J Connector and MySql

I have downloaded a Set up of MYSQL J Connector from mysql.com. It provides a Zip file which containing a JAR file, which is to be double clicked.

but when double clicked it gives error, i mean it does not execute.

i try that on cmd prompt even there it does not execute. Could anyone provide me set up of j connector which have J Connector setting options too.?

Who said you had to double-click that JAR file?

If it's what I think it is, it's just the JAR file containing the JDBC driver. Just put a copy of it in your classpath and you're done.

Or you could post a link to the instructions which said to double-click the JAR file, so we could have some idea of the context for your question.