php myadmin is a bit hard to understand.
It took me a while of looking for the exe file or the setup file to understand that it was just a website....
1. Run a webserver on your localcomputer (try aprelium.com)
2. configure it for php
Point the webserver to look for the root of the website at the place where you put the phpmyadmin files in...
then open up a browser, and in the addressbar type:
http://localhost/phpmyadmin
hope this helps
Noam