phpMyAdmin is a 3rd Party Program to run on your server. It's a graphical interface for Database control.
You can find it at
www.phpwizards.net I believe, or at phpmyadmin.scourgeforge.net - most webservers have phpMyAdmin pre-installed for you anyway, so check that first!
Basically, it allows you to edit, alter, and add to your database(s). Much easier than doing all that through the mysql command prompt.