Ok, so you can login to the MySQL monitor, successfully root around, view databases, etc, but you can't access via PHP? My guess is you have either a problem with your PHP config or with your script.
Example script that will work:
PHP Code:
<?
if (!$link = mysql_connect("localhost", "username", "password"))
die("Can't connect to database:<br>" . mysql_error());
?>
Try that script, it will show you an error if it fails so have a tool to troubleshoot. Replace 'username' and 'password' with the appropriate entries, of course.
Oh, and by the way, setting up phpmysqladmin is no more difficult than placing the contents of the zip file in your webserver's document root, then editing the config.inc.php to add the absolute URL of the phpmysqladmin directory, your username and password. That's it.