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Connector/MXJ does not have a installation application or process, but there are some steps you can follow to make the installation and deployment of Connector/MXJ easier.
Before you start, there are some baseline requirements for
Java Runtime Environment (v1.4.0 or newer) if you are only going to deploy the package.
Java Development Kit (v1.4.0 or newer) if you intend to build Connector/MXJ from source.
Connector/J 5.0 or newer.
Depending on your target installation/deployment environment you may also require:
JBoss - 4.0rc1 or newer
Apache Tomcat - 5.0 or newer
Sun's JMX reference implementation version 1.2.1 (from http://java.sun.com/products/JavaManagement/)