If you set up MySQL for the first time, then you have the user root with an empty password. You can then run
mysqladmin -u root password yourrootsqlpassword
which will set root's password to yourrootsqlpassword
If root already has a password, you must run
mysqladmin -u root -pcurrent_password password new_password
instead to set a new password for root where current_password
is root's current password and new_password
is root's new password.