Hi Mike.
The install.sh script has not suport for databases at the moment. In order to compile OSSEC with MySQL support, you should install the development libraries (package libmysqlclient-dev on Debian) and run make:
make TARGET=server DATABASE=mysql install
Then, enable the database daemon:
/var/ossec/bin/ossec-control enable database
After setting the configuration, restart OSSEC:
/var/ossec/bin/ossec-control restart
Kind regards.