Use yum to install your packages. Really. Either that or use a thumbdrive to move the actual RPMs over if you cannot use a networked system to the net.
Linux is not like windows really, when it comes to installing software. Linux like to break things into small very specific tools/tasks/utilities and have other software link to that as it needs to. Thus making the software modular and more easily updated when a security flaw needs to be rolled out.
On FC6 (the box I am on now), the command to get the file(s) you need would be a simple (I think that is the package. Install as root, or via sudo or su):
Code:yum install mysql-devel