Do you have 'phpmyadmin' database and tables* inside it on your mysql server?
If you're on localhost, to sure you should check it via file system, database files are stored on mysql\data folder.
You know, I'm not ESP.
You should know where you installed your mySQL server.
If you installed WAMP/LAMP separately, search for a place where you installed mySQL.
If you installed packages like EasyPHP, WampServer, etc. Mysql folder should be in package installation folder.