XP Warning about Accessing Internet

[Van Sederburg]

When I try to connect to the MySQL server the first time, Windows XP pops
up a firewall warning saying that "mysqld.exe is attempting to access the
internet". And then you can block or allow it.

I'm afraid unwitting users are going to block the program, and then wonder
why my software won't work anymore.

Does anyone know how to prevent that warning?  I'm connecting by IP
address, but to Localhost, not to any external internet address.

Thanks!

Van