I use phpmyadmin, and when entering this adress:
Yep, you can: set your password in the config file. BUT if you are using this on your domain then I'd strongly recommend you take it off your site altogether!
Use a client to access your database - like mysql workbench or mysql yog or any of the numerous ones out there.
If you MUST use phpmyadmin then why not install it on your local machine and add the details to the config there? It is much safer.