I have it up and running on Win2000Pro server and Linux. Seems like it was confusing at first, but keep in mind that phpMyAdmin is just a bunch of Web page files. Put them in a directory, ("phpMyAdmin" for example) then edit the config.inc file. There is a little bit of fiddling to get the right combination of params on the server init. phpMyAdmin allows for multiple db servers, so if you just have one, then you only have to worry about the the first one in the config file.
phpMyAdmin does have some helpful error messages, keep trying the yourdomain.com/phpMyAdmin URL and config.inc adjustments until you get a successful logon.