If you are running XAMPP for example, there is no password set for root which is highly insecure as anyone can connect and see your data.
Here is how you can set or change the MySQL password for any user including root.
If you don't have a password already set run this on command prompt :
mysqladmin -u USERNAME password PASSWORD_YOU_WANT
otherwise run this :
mysqladmin -u USERNAME -p 'CURRENT_PASSWORD' password 'PASSWORD_YOU_WANT'