What download package(s) are you using? Source code or deployment files?
If using source code you just change the project references from the business projects to use the MySql Data layers and then rebuild the solution, there is no copying of dlls to be done.
If using the pre-compiled deployment files then you must copy the dlls from the MySqlData layer download into the /bin folder overwriting the MS SQL versions of the dlls and you must copy the contents of the /Setup folder from the My Sql package into the /Setup folder of the web.
Hope it helps,