Setting up phpMyAdmin is extremely easy
Download the package from
www.phpmyadmin.net (the one that suits your server NT/Unix etc.)
Unzip it in one folder on your computer.
Change the config.inc.php file to map to your target installation. This will be the target folder on your site so if you have
www.mysite.com and you want to install it on
www.mysite.com/phpmyadmin you set that in the first configuration variable.
You change the access to cookies and save the file
Upload the whole contents of the folder to your server (in the previous example in the phpmyadmin folder
Navigate to it and you will see a white screen with a username/password prompt. These are the username and password you have specified in the config.inc.php of your threads installation. Once you put that information in all will be ok and you will be able to see the interface.
Now taking dumps of the database with phpmyadmin will be a bit tricky cause you might come up with timeouts. A method to do that is to get some records at a time. Idealy you need telnet to the server and get the dump to created locally and not transferred to your computer over the net.
I hope this helps