A worm is on the loose attacking MySQL installations on computers running Windows. This does not appear to be a MySQL exploit; rather one which takes advantage of weak security to use MySQL functions to insert malicious code into the system.

MySQL has an informative page on the subject:

• Security Alert 01/27/2005

It's still not entirely clear which MySQL versons are affected by this. This article from The Register says only "4.0.21 or later" versions are affected.

The worm is unlikely to affect other operating systems. However it is always advisable to ensure any internet-facing services - including database servers - have secure passwords and access restricted to known hosts, or are (preferably) protected by a firewall-style mechanism.