To clarify what Angus_D said: mysql.sock is not a regular file. It is the representation of the connection to the database. You are probably trying to get MySQL up and running, and are getting an error message about mysql.sock being missing. This simply means that the database is not up and running, so you can't connect to it.
The database has to be running in the background, either you forgot to start it, or it failed to startup. There are a lot of thread on this board, and on others, that you need to read through. Please do so...
PS... When you ask questions you need to do a better job giving information. Don't think you already know the direction the answer is going to take. Tell people what you are trying to do, and give error messages.
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