I see this a lot when people move over to 2008 server from previous operating systems.
When you install these programs they are not aware of the new Windows 2008 Advanced Firewall and can't automatcally open ports for you.
It is very likely that this is your problem. Although you accessing it locally the PHPadmin is a a program trying to accessing the MySQL DB through its port. Last time I looked it was 3306. Go into Windows Firewall and allow port 3306 open for all connections and try again.
If this works please lets us know. NOTE: it may not be 3306 as I don't use MySQL much but find out what port it is and open it.
I got the port info from here http://www.ozzu.com/programming-forum/phpmyadmin-error-1045-access-denied-for-user-root-t64849.html so just look at php pages to find out what port it is connecting on.