In order to have access data to MySQL and phpMyAdmin, you first need a database. The procedure differs depending on whether you have a Confixx or a Plesk control panel.
This FAQ article explains how to change the password of your database user.
Confixx
In Confixx you create a database under “Settings > MySQL”. After creating the database, the password for the database will be displayed at the top (unfortunately a bit small). The username is always your webXXX user (e.g. web123) and cannot be changed.
Plesk
After you have created a new database in Plesk under “Databases” on the left, you can create a new user for the database under “Add new database user”. You can also change the password here.