I've been through that recently ..
first question - do you have MySQL running?
go to Task Manager - Ctrl+Alt+Del
do you have mysqld-max-nt.exe (or other mysql mode) process running in there?
go to c:\mysql\bin and launch winmysqladmin.exe ..
you should see a "traffic light" icon in your system tray .. right click on this and "show me"
then try phpmyadmin again
if still no go .. check your mysql username and password settings
also for auto start of MySQL ..
MySQL startup properties should be checked
Control Panel | Administrative Tools | Services .. MySQL .. Properties .. startup type automatic