Access MySQL command line history in WinXP

I've installed MySQL v4.1 onto my WinXP and unfortunately now need to
reinstall my OS.

I need to access my mysql command line history but don't know how. I
know there's a .mysql_history file but that's just on Unix. Is there a
similar file in Windows? If not, how does mysql remember all the
commands? Where is it's buffer?

Also, the doskey /history command only gives a history of the cmd.exe
prompt so that's not what I want either.

Does anyone have any idea?

Any help would be really appreciated.

Many thanks.

Nat.