Windows XP and sockets and UNIX

I am fairly new to this stuff, but I have mySQL 5.0 comm. server.
I am able to connect and create a datbase and yet get that terrible message :
Can't connect to local MySQL server through socket '/var/lib/mysql/mysql.sock' (2)

Is this an issue with my ISP server?
I think that UNIX sets up the /var/lib/mysql/mysql.sock on my system but I am using XP pro.
There are no directories as such.

Is there a line of code I am missing in my my.ini file?

Thanks

Bill from Canada