First of all you should remove the anonymous user from mySQL by logging into mySQL then running this sql:
mysql> DELETE FROM user WHERE host='localhost' AND user='';
Quit mySQL and from the command line run the following (make sure you are in the mysql\bin directory):
mysqladmin reload
This reloads all the table information and therefore removing the anonymous user.
Next, still in the command line:
mysqladmin -u root password <your new password>
This sets a password for the root user (admin) and your job is done
If you wan to see the priveleges set for user, db's and tables then simply view the tables in the mysql database with so sql:
e.g. select user,host from users;
Hope this helps you - JaYsuN