Em ... you create them yourself by setting up a root account. I don't have documentation to hand here, but try http://www.mysql.com and go to the online handbook (under documentation). You'll find what you're looking for there.
I don't know if there's a mac version of winmysqladmin.exe, which is a nice little admin tool for newbies like myself. Again, check the MySQL site for Mac info.
A good PHP primer will explain setting up MySQL, creating different accounts and granting priviledges.
Anyone got Mac experience who can help?
Norman