An Awsome Tutorial To Help us Newbies learn how to configure MYsql!!!
PLEASE NOTE this tutorial is for those who still wish to use Mysql 4.1 & 4.0 the inquistor has produced a link below that may work better for those using 5.0 here's the Link www.trustabyss.com
Thanks Inquisitor
http://www.analysisandsolutions.com/code/mybasic.htm

Edit
I have decided to Copy and paste the Intructions Just in case something should happen to the orginal page as so often does with websites. Besides this cuts out all the stuff you don't need in the orginal tutorial.
MANY MANY THANKS TO TAASC @ http://www.analysisandsolutions.com FOR YOUR HELP!!!!

Here is the Tutorial
PLEASE Note That these Steps should be taken only after following the MySql installation Tutorial found In this forum.

After Editing your My.ini file
1) Make a Command Prompt shortcut to make it easy to manually work with MySQL. By Following these Steps.
Open Windows Explorer.
In the Address Bar, type in %UserProflie% and hit the ENTER key.
Navigate to the Start Menu\Programs\Accessories directory.
Select the Command Prompt file.
Hit CTRL-C then CTRL-V
Or you can create the shortcut By Browsing To C:\Windows\System32\ and right clicking on the CMD.exe and send it to your desktop.
2) Open it's properties via File | Properties and go to the "Shortcut" tab, then the "Start In" box and type in the path where your MySQL binaries are. For example: C:\MySQL\bin Edit the items in the remaining tabs to suit your preferences. Hit OK when you're done.
3) Open the Shortcut Next, we need to "install" the appropriate MySQL service. You have several options. The options and the command to implement it are as follows:
4) Open the MySQL Shortcut. Next, we need to "install" the appropriate
SQL service. You have several options. The options and the command to
implement it are as follows:
NT/2000/XP. Transactions. Named pipes.
Type: mysqld-max-nt --install
To Install NT/2000/XP. Transactions.
Type: mysqld-max --install
To Install NT/2000/XP. Named pipes.
Type: mysqld-nt --install
To Install Transactions.
Type: mysqld --install
To Install Optimised binary with no support for transactional tables.
Type: mysqld-opt --install
5) Next We make sure the MySql Is installed to startup with windows by:
Opening up the Services Manager For your computer
In Windows 2000 Command Prompt Type: services.msc
In Windows NT 4.0 Go to: Start | Settings | Control Panel | Services
In Windows XP Home Or Pro Go To: Start | Settings | Control Panel | Administrative Tools | Component Services
(Note in windows XP pro and Home you will need to click on Services(Local) Once you have opened the Component Services to see the following list)
Highlight the line with "MySql" on it then hit ENTER or double click on it. Set the "Startup type" list to "Automatic" and click Apply.
Click on the Start button. If you get an error message about "Error 1067," it most likely means that some directive in your configuration file (ie my.cnf) is incorrect.
Close the Services Manager.
6) In the Mysql command prompt (ie...the shortcut you created earlier)
You will need to log in.
If you are using a new installation, the root account doesn't have a
password it yet, so type in the text that looks like this:
C:\mysql\bin> mysql -u root mysql
If you have already set a password for root, use these commands:
C:\mysql\bin> mysql -u root -p mysql
Enter password: TYPE IN THE PASSWORD
You will then see the following output:
Welcome to the MySQL monitor. Commands end with ; or \g.
Your MySQL connection id is 1 to server version: 3.23.55-max-nt
Type 'help;' or '\h' for help. Type '\c' to clear the buffer.
7) Tighten Security
MySQL has good security controls, but the default installation is wide
open. So, if you're doing a new installation, let's close things up before
we go any further. Of course, change NewRootName and NewPassword,
below, to something unique. After typing each line below be sure to hit
enter before typing the next line.
mysql> delete from user where Host='%';
mysql> delete from user where User='';
mysql> delete from db where Host='%';
mysql> update user set User='NewRootName', Password=Password('NewPassword') where User='root';
mysql> flush privileges;
8) Check that your user Name and password are correct.
You will have to log out befor you can use the new user name and pass to do this type:
mysql>exit;
you can now login with the new user name and password by typing once you hit enter you will
be asked for your password MAKE SURE to type it exactly as you did when creating it as MySql
is case sensitive.
C:\mysql\bin> mysql -u root -p mysql
Enter password: TYPE IN THE PASSWORD

Thats it folks you can now install phpmyadmin. :)