After Installing MySql Unable to set up users with priveledges

I installed MySql successfully but afterwards I tried entering the following command "C:\mysql\bin\mysql mysql" in dos and it did not work. So I removed the mysql at the end and left it as "C:\mysql\bin\mysql and that worked to give me the right menu which is the MYSQL monitor in dos.

in the prompt i typed the following (not in quotations like i have below)

mysql > DELETE FROM user WHERE Host = 'localhost' and User = ' ';

I am suppoed to get the following message

Query OK, 1 row affected (0.46 sec) or somethign like this

Instead I get the following message

Error 1046: No Database Selected

Am I not inlcuding a particular command before. Im not really sure. Thanks for the help.