No, you don't need MS SQL.
Your first script should be at
Note that if it ever ran that script it will reocrd it in the mp_SchemaVersion table, and then it will never run any more scripts from the SchemaInsallScripts/mysql folder so you can't update it later.
any subsequent scripts with higher version numbers need to be in:
it will update the row in mp_SchemVersion after running any upgrade scripts so it will never run a script with a version that is not higher than the one in mp_SchemaVersion
Other than that I would look and make sure your files are actually getting copied by post build so they land under Web/Setup/applications/[yourappname]
Hope that helps,