i am not clear about steps/configuration details about how i can embed mysql in a Java desktop application so that it(application) can be installed on any machine through a
I would strongly recommend H2. It is a very fast embedded database written in Java and I've found it easier to use than some of the others mentioned such as HSQL.
Edit:
On the H2 website, you can see a speed comparison of H2 vs Derby, HSQL, MySql, etc...
Here's information on how to backup the database.