If you want to run SQL statement to your server with "mysql", you need to start "mysql" and enter your SQL statement at the "mysql" prompt. Here is a good tutorial exercise that shows you how to run two SQL statements with "mysql":
>cd mysqlbin
>mysql -u root test
Welcome to the MySQL monitor. Commands end with ; or g.
Your MySQL connection id is 4 to server version: 5.0.24
mysql> CREATE TABLE links (name VARCHAR(80));
Query OK, 0 rows affected (0.10 sec)
mysql> INSERT INTO links VALUES ('www.GlobalGuideLine.com');
Query OK, 1 row affected (0.02 sec)
mysql> quit;
Bye