Phpmyadmin is the web version MySQL database server's client interface. Although you can use the desktop version like SQLyog:
Having Phpmyadmin installed is much eaiser. In this case, you have to contact your host support, so they can run it for you from the command line.
You can find the complete info at:
http://codex.wordpress.org/Moving_WordPress
or you can try to use the easier way with a plugin called