Hmm, think about it, even 2.6.0 doesn't have a 5.5 connector. Must have 2.6.2rc1 probably
So you're using the TMysql55connector, right?
Make sure you are using the correct connection component for your client library version. So if you have the client libraries installed for MySQL 4.1 then you have to use TMySQL41Connection component, even if the server is running version 4.0 or 5.0
If you use a version of mysqlclient that needs additional libraries (libc,iconv,SSL), those need to be placed there too. Try to put all dlls of the mysql dir in the directory with the EXE.