Any application that uses MySQL Embedded server will have the following requirements:

NEEDED:
1) The libmysqld (MySQL embedded server) Lib file (dll or so). 
   You can locate this library file at lib/mysql folder in ZeosLib distribution files.
   The specified libmysqld lib (dll or so), in this case libmysql41d file have to go in the
   application's executable folder or in any folder included in the PATH environment variable.

EXISTING OR AT LEAST SPECIFIED:
2) Existing "<APP Folder>/data" folder or the one specified in "--datadir" Server variable 
   that will be the data folder for mysql. By default MySQL Embedded Server will take as DataDir
   the application's executable folder ("<APP Folder>/"), but for convenience, if the "--datadir" is
   not specified, ZeosLib by default will set the DataDir as "--datadir=./data".

3) Existing "<APP Folder>/shared/english" folder or the one specified in "--language" Server variable 
   that contains the "errmsg.sys" file.
   By Default MySQL Embedded server takes as language folder '<APP Folder>/shared/english'

4) Existing "<APP Folder>/shared/charsets" folder or the one specified in "--character-sets-dir" 
   Server variable that contains the charsets configuration files.
   By Default MySQL Embedded server takes as charset folder '<APP Folder>/shared/charsets'.

OPTIONAL:
5) The "--basedir" Server variable, will contain the basedir of the MySQL server.
   By Default MySQL Embedded server takes as base folder the same application's excutable folder ("./") 
   This is needed if the above server folder variables are not specified and they're not located
   as subfolders of the applications base folder.
   
6) If you need speed optimization try to disable InnoDB support specifying the "--skip-innodb"
   parameter. Check Embedded demo for example.

7) Also try to set the key buffer size to 32M or more by setting "--key_buffer_size=<NN>M|K", 
   Where <NN> is the size in "M" (Megabytes) or "K"(Kilobytes).
   Examples: "--key_buffer_size=32M"
             "--key_buffer_size=4096K"

8) MySQL embedded server will also try to open the mysql server time zone's tables. 
   So you can optionally have a 'mysql' database with the following tables (time_zone*.*): 
   - time_zone
   - time_zone_leap_second
   - time_zone_name
   - time_zone_transition
   - time_zone_transition_type
   This is optional and only for 4.1 and above. They're only needed to prevent the embeded server 
   to write a record in the error log file each time the application starts.

9) Embedded Server options can also be set using a 'my.ini' file, that have to be in the same exe's folder.
   For more info about How to use Embedded INI options, check MySQL documentation.

NOTES: 
      - To see how to configure the above server variables and settings needed to make the 
        MySQL embedded server running, check the "EmbeddedConnection.Properties" Property 
        of the Connection component in the embedded demo. 
      
      - The server specific arguments are specified by the "ServerArgument%N" prefix,
        Where "%N" is an argument secuential number. The "ServerArgument%N" prefix is used only by
        ZeosLib. This prefix will help ZeosLib to identify which Connection parameters are 
        Server specific.

      - Check MySQL Help file for more info about Embedded Server usage, limitations, Server specific
        parameters and how to use them.

Regards
fduenas - ZeosLib Developement Team Member