How can I undo a mysql statement that I just executed?

If you define table type as InnoDB, you can use transactions. You will need set AUTOCOMMIT=0, and after you can issue COMMIT or ROLLBACK at the end of query or session to submit or cancel a transaction.

ROLLBACK -- will undo the changes that you have made

You can only do so during a transaction.

BEGIN;
INSERT INTO xxx ...;
DELETE FROM ...;

Then you can either:

COMMIT; -- will confirm your changes

Or

ROLLBACK -- will undo your previous changes

Basically: If you're doing a transaction just do a rollback. Otherwise, you can't "undo" a MySQL query.