Ok let me give you the lowdown:
I'm running MySQL 4.0.20a-nt on a Windows XP Pro Box. Install went fine. I set a password for root using: "mysqladmin -u root password 'mypasshere'" This *seemed* to work. I then try: "mysql -u root -p "mypasshere" and/or "mysql -u root -p" This returns: "ERROR 1045: Access denied for user: 'root@localhost' (Using Password NO). I also try: "mysqladmin -h localhost -u root -p "mypasshere" this produces a password prompt - I input the correct password and I get: "MYSQLADMIN: connect to server at 'localhost' failed error: 'Access denied for user: 'root@localhost' (Using Password: YES). I can login using: "mysql" and it works fine - no password required. I also edited my.ini using WinMySQLAdmin to read:
#This File was made using the WinMySQLAdmin 1.4 Tool
#7/2/2004 4:06:57 PM
#Uncomment or Add only the keys that you know how works.
#Read the MySQL Manual for instructions