I remember when I set up my password the first time it was in a configuration file. I don't remember what it's called. But there's a field that says 'password' and 'user' or something like that. You open it up in a text editor, change it, save it again and MYSQL reads it and set it up for you.
Oh Also i just downloaded this thing called Xamp. It's tight....it does it all for you. You might want to check it out. I had problems setting up MySql too and I just gave up and started using xamp LOL.