Under Windows, the PID file for MySQL is located the same place where database root folder is.
In My.ini file:
#Path to the database root
datadir="C:/ProgramData/MySQL/MySQL Server 5.1/Data/"
Under this path, there is a .PID file, that holds the current process id. The filename is the name of the computer.
But if you what to control is MySQL is running or not. Then use the "SC" command tool under Windows.