How can I simulate an array variable in MySQL?

You can achieve this in MySQL using WHILE loop:

SET @myArrayOfValue = '2,5,2,23,6,';

WHILE (LOCATE(',', @myArrayOfValue) > 0)
DO
    SET @value = ELT(1, @myArrayOfValue);
    SET @myArrayOfValue= SUBSTRING(@myArrayOfValue, LOCATE(',',@myArrayOfValue) + 1);

    INSERT INTO `EXEMPLE` VALUES(@value, 'hello');
END WHILE;

EDIT: Alternatively you can do it using UNION ALL:

INSERT INTO `EXEMPLE`
(
 `value`, `message`
)
(
 SELECT 2 AS `value`, 'hello' AS `message`
 UNION ALL
 SELECT 5 AS `value`, 'hello' AS `message`
 UNION ALL
 SELECT 2 AS `value`, 'hello' AS `message`
 UNION ALL
 ...
);

Try using FIND_IN_SET() function of MySql e.g.

SET @c = 'xxx,yyy,zzz';

SELECT * from countries 
WHERE FIND_IN_SET(countryname,@c);

Note: You don't have to SET variable in StoredProcedure if you are passing parameter with CSV values.

Well, I've been using temporary tables instead of array variables. Not the greatest solution, but it works.

Note that you don't need to formally define their fields, just create them using a SELECT:

DROP TEMPORARY TABLE IF EXISTS my_temp_table;
CREATE TEMPORARY TABLE my_temp_table
    SELECT first_name FROM people WHERE last_name = 'Smith';

(See also Create temporary table from select statement without using Create Table.)