Could somebody help me understand how I would go about setting up postgresql's mysql_fdw? I'm looking at https://github.com/EnterpriseDB/mysql_fdw, and I not sure what the first step is.
You linked to the ODBC foreign data wrapper odbc_fdw. You can use it for MySQL, but if you just want MySQL you should use mysql_fdw instead. That way you don't have to mess with ODBC.
Handily, the README for mysql_fdw contains detailed instructions for installation and configuration, so you should be fine setting it up; I won't duplicate those instructions here.