Method one:
c:\>mysql --version
mysql Ver 12.22 Distrib 4.0.17, for Win95/Win98 (i32)

Method two:
c:\>mysql -uroot -p
Enter password: ********
Welcome to the MySQL monitor. Commands end with ; or \g.
Your MySQL connection id is 1424 to server version: 4.0.17-nt-log

Type 'help;' or '\h' for help. Type '\c' to clear the buffer.

mysql> select version();
+---------------+
| version() |
+---------------+
| 4.0.17-nt-log |
+---------------+
1 row in set (0.05 sec)

mysql> select @@version;
+---------------+
| @@VERSION |
+---------------+
| 4.0.17-nt-log |
+---------------+
1 row in set (0.01 sec)