Before you try testing the connection to MySQL data source in Denodo, I would advise you to check if the MySQL server is up and running in your windows services.
In the JDBC data source creation window, you can select the "MySQL" database adapter from the drop down and check the "Choose automatically" button. Also use a Database URI like jdbc:mysql://localhost:3306/admin and have the mysql-connector-java-5.1.40 driver in the below path,
Alternatively you can also use the Driver class path (optional) field to browse and locate the driver in your local file system and leave the "Choose automatically" button unchecked.
Finally you must first try executing some query using MySQL workbench to ensure that MySQL server is up and running.
I hope this helps you!