Lo del .jar del connector-j.... ya tenía añadido el MySQL JDBC Driver - mysql-connector-java-5.1.13-bin.jar, por lo que ya está.

Lo he intentado hacer como "conquistador", pero me da el mismo problema, me crea la carpeta "test-mxj" y dentro la carpeta "data" vacía.

En la línea:
conn = DriverManager.getConnection(url, userName, password);

Me da el error:

[MysqldResource] Mysqld not running. No file: C:\Users\yave\AppData\Local\Temp\test-mxj\data\MysqldResource.pid
EXCEPTION: Could not create socket factory 'com.mysql.management.driverlaunched.ServerLauncherSocketFactory' due to underlying exception:

Ahora he probado siguiendo el ejemplo:
http://dev.mysql.com/doc/connector-mxj/en/connector-mxj-configuration-java-object.html

import java.io.File;
import java.sql.Connection;
import java.sql.DriverManager;
import java.util.HashMap;
import java.util.Map;
import com.mysql.management.MysqldResource;
import com.mysql.management.MysqldResourceI;
import com.mysql.management.util.QueryUtil;

public class ConnectorMXJObjectTestExample {

public static final String DRIVER = "com.mysql.jdbc.Driver";
public static final String JAVA_IO_TMPDIR = "java.io.tmpdir";

public static void main(String[] args) throws Exception {
try {
File ourAppDir = new File(System.getProperty(JAVA_IO_TMPDIR));
File databaseDir = new File(ourAppDir, "mysql-mxj");
int port = Integer.parseInt(System.getProperty("c-mxj_test_port", "3307"));
String userName = "root";
String password = "*******";
MysqldResource mysqldResource = startDatabase(databaseDir, port, userName, password);
Class.forName(DRIVER);
Connection conn = null;
try {
String dbName = "aaplicacion";
String url = "jdbc:mysql://localhost:" + port + "/" + dbName //
+ "?" + "createDatabaseIfNotExist=true"//
;
conn = DriverManager.getConnection(url, userName, password);
String sql = "SELECT VERSION()";
String queryForString = new QueryUtil(conn).queryForString(sql);
System.out.println("------------------------");
System.out.println(sql);
System.out.println("------------------------");
System.out.println(queryForString);
System.out.println("------------------------");
System.out.flush();
Thread.sleep(100); // wait for System.out to finish flush
} finally {
try {
if (conn != null) {
conn.close();
}
} catch (Exception e) {
e.printStackTrace();
}
try {
mysqldResource.shutdown();
} catch (Exception e) {
e.printStackTrace();
}
}
} catch (Exception e) {
System.out.println("@@EXCEPTION: ### -" + Thread.currentThread().getStackTrace()[1].getMethodName() + "- ###\n--> " + e.getMessage());
}
}

public static MysqldResource startDatabase(File databaseDir, int port, String userName, String password) {
MysqldResource mysqldResource = new MysqldResource(databaseDir);
try {
Map database_options = new HashMap();
database_options.put(MysqldResourceI.PORT, Integer.toString(port));
database_options.put(MysqldResourceI.INITIALIZE_USER, "true");
database_options.put(MysqldResourceI.INITIALIZE_USER_NAME, userName);
database_options.put(MysqldResourceI.INITIALIZE_PASSWORD, password);
mysqldResource.start("test-mysqld-thread", database_options);
if (!mysqldResource.isRunning()) {
throw new RuntimeException("MySQL did not start.");
}
System.out.println("MySQL is running.");
} catch (Exception e) {
System.out.println("@@EXCEPTION: ### -" + Thread.currentThread().getStackTrace()[1].getMethodName() + "- ###\n--> " + e.getMessage());
}

return mysqldResource;
}
}

Pero... dentro de la función "startDatabase" me falla en la línea:
mysqldResource.start("test-mysqld-thread", database_options);
Mostrándome:
[C:\Users\yave\AppData\Local\Temp\mysql-mxj\bin\mysqld.exe][--no-defaults][--console][--port=3307][--socket=mysql.sock][--basedir=C:\Users\yave\AppData\Local\Temp\mysql-mxj][--datadir=C:\Users\yave\AppData\Local\Temp\mysql-mxj\data][--pid-file=C:\Users\yave\AppData\Local\Temp\mysql-mxj\data\MysqldResource.pid]
[MysqldResource] launching mysqld (test-mysqld-thread)
120704 15:52:22 [Note] Plugin 'FEDERATED' is disabled.
120704 15:52:22 InnoDB: The InnoDB memory heap is disabled
120704 15:52:22 InnoDB: Mutexes and rw_locks use Windows interlocked functions
120704 15:52:22 InnoDB: Compressed tables use zlib 1.2.3
120704 15:52:22 InnoDB: Initializing buffer pool, size = 128.0M
120704 15:52:22 InnoDB: Completed initialization of buffer pool
120704 15:52:22 InnoDB: highest supported file format is Barracuda.
120704 15:52:22 InnoDB: Waiting for the background threads to start
120704 15:52:23 InnoDB: 1.1.5 started; log sequence number 1595675
120704 15:52:23 [Note] Event Scheduler: Loaded 0 events
120704 15:52:23 [Note] C:\Users\yave\AppData\Local\Temp\mysql-mxj\bin\mysqld.exe: ready for connections.
Version: '5.5.9' socket: '' port: 3307 MySQL Community Server (GPL)
[MysqldResource] mysqld running as process: 3764

Y después en al ejecutar el "Finally" del "main", al ejecutar la línea:
mysqldResource.shutdown();
Me muestra:
[MysqldResource] stopping mysqld (process: 3764)
120704 15:52:28 [Note] C:\Users\yave\AppData\Local\Temp\mysql-mxj\bin\mysqld.exe: Normal shutdown

120704 15:52:28 [Note] Event Scheduler: Purging the queue. 0 events
120704 15:52:28 InnoDB: Starting shutdown...
120704 15:52:29 InnoDB: Shutdown completed; log sequence number 1595675
120704 15:52:29 [Note] C:\Users\yave\AppData\Local\Temp\mysql-mxj\bin\mysqld.exe: Shutdown complete

[MysqldResource] clearing options
[MysqldResource] shutdown complete

Con todas las líneas que empiezan por 120704 en rojo.

Nota: a "mysql server" le di el puerto 3307 para que no hubiera conflicto con el WAMP (y me funcionaba correctamente).

Alguna idea de cómo sería la forma correcta de hacerlo??

Gracias!!