it's case-sensitive, module name is 'MySQLdb'
yed@rublan ~/skript $ python
Python 2.6.5 (release26-maint, Jun 19 2010, 18:42:45)
[GCC 4.4.4] on linux2
Type "help", "copyright", "credits" or "license" for more information.
>>> import MySQLdb
>>> print dir(MySQLdb)
['BINARY', 'Binary', 'Connect', 'Connection', 'DATE', 'DATETIME', 'DBAPISet', 'DataError', 'DatabaseError', 'Date', 'DateFromTicks', 'Error', 'FIELD_TYPE', 'IntegrityError', 'InterfaceError', 'InternalError', 'MySQLError', 'NULL', 'NUMBER', 'NotSupportedError', 'OperationalError', 'ProgrammingError', 'ROWID', 'STRING', 'TIME', 'TIMESTAMP', 'Time', 'TimeFromTicks', 'Timestamp', 'TimestampFromTicks', 'Warning', '__all__', '__author__', '__builtins__', '__doc__', '__file__', '__name__', '__package__', '__path__', '__revision__', '__version__', '_mysql', 'apilevel', 'connect', 'connection', 'constants', 'debug', 'escape', 'escape_dict', 'escape_sequence', 'escape_string', 'get_client_info', 'paramstyle', 'release', 'result', 'server_end', 'server_init', 'string_literal', 'test_DBAPISet_set_equality', 'test_DBAPISet_set_equality_membership', 'test_DBAPISet_set_inequality', 'test_DBAPISet_set_inequality_membership', 'thread_safe', 'threadsafety', 'times', 'version_info']