There are so many tutorials about that, but let me add it one more time. You’ve to use the PDO_MYSQL adapter:

// where params include adapter, host
// username, password and dbname
$db = new Zend_Db_Adapter_Pdo_Mysql($params);

and set the default adapter

Zend_Db_Table::setDefaultAdapter($db);

That can be done in the bootstrap or into a front controller plugin!