PHPMyAdmin runs on the server, so it is not helpful in this case.
You could try to connect with the MySql Query Browser from your local machine. Or setup the database connection in your IDE (which is handy anyways, especially when you use the JBoss Hibernate tools later). All IDEs have some means of database browser.
Hm.... and you have to be sure your web host allows connections from outside (i.e. applications not running on the same server) to the database. For security reasons this typically will not be the case. Then you have to setup a local database for development.