If you install phpMyAdmin on your web host and all you see when you access www.yoursite.com/phpmyadmin (or whatever) is “Wrong permissions on configuration file, should not be world writable!” you are supposed to just change the permissions of /phpmyadmin/config.inc.php to not be world writable (i.e. chmod 755 config.inc.php, or by using your FTP client).
Some hosts (Primus for one) do not let you change the permissions on your files, so there is no way to set this up properly. But if you are in a hurry and need to back up a database so you can get the site migrated to a decent web host, you can still get phpMyAdmin to run.
Edit /phpmyadmin/libraries/Config.class.php (yes, there is a capital “C” on this file name for some reason), and comment out the line that checks the permissions. (Line 390 in the source code for phpMyAdmin version 126.96.36.199-english.)
and re-upload the file. Now you should be able to log in, assuming you have setup the proper information in your /phpmyadmin/config.inc.php file in the first place!