net stop MySQL*
or
mysqld stop
or
mysql stop
in the window's command line prompt.
<*> if you're using windows XP, you need the name of your service, which can be obtained doing this: (credits @Atli)
right click the "My Computer" shortcut in the Start menu, select "Manage", click "Services" in the "Services and applications" group. And then search the list of services until you find the MySQL service.
Then you can start [or stop] the service by using that name. It is can sometimes be called "mysql5" or "mysql51", or something like that. Depends on who installed it.