We have investigated the spin preparation efficiency by optical pumping of individual Mn atoms embedded in CdTe/ZnTe quantum dots. Monitoring the time dependence of the intensity of the fluorescence during the resonant optical pumping process in individual quantum dots allows to directly probe the dynamics of the initialization of the Mn spin. This technique presents the convenience of including preparation and readout of the Mn spin in the same step. Our measurements demonstrate that Mn spin initialization, at zero magnetic field, can reach an efficiency of 75% and occurs in the tens of nanoseconds range when a laser resonantly drives at saturation one of the quantum-dot transition. We observe that the efficiency of optical pumping changes from dot-to-dot and is affected by a magnetic field of a few tens of millitesla applied in Voigt or Faraday configuration. This is attributed to the local strain distribution at the Mn location which predominantly determines the dynamics of the Mn spin under weak magnetic field. The spectral distribution of the spin-flip-scattered photons from quantum dots presenting a weak optical pumping efficiency reveals a significant spin relaxation for the exciton split in the exchange field of the Mn spin.