PHPMyAdmin is fine for web use, but without a web server you'd be better off with one of the many GUI programs available, for example MySQL Administrator and MySQL Query Browser, both free from the MySQL site.
MySQL is designed for multi-user network use, which is why you need to specify a hostname. If MySQL is installed on the same machine, use "localhost", otherwise use the server's IP address. The username and password are for security reasons; if you've no interest in security, just use "root" and the root password you would have specified during installation.
MySQL's data is obviously stored in files, but you would not (and should not) normally deal with those files directly; to import and export data, you can use SQL or one of the utility programs supplied. The data files are normally stored in the "data" subdirectory of the MySQL installation directory, but you can change that by editing the configuration file (could be "my.cnf" or "my.ini") and changing the value of the "datadir" entry.