ComputingConfidence

In a terminal do the following whatever system you are running (Mac, Linux, Windows, Unix):

mysql -u root mysql
> DELETE FROM user WHERE Host='localhost' AND User='';
> QUIT;

mysqladmin reload
mysqladmin -u root password NEWPASSWORD

The case is that when you first install MySQL, local users can login without authentication. Secondly user root doesn't have a password, as this makes the installation easier and the user is guaranteed access.