First start by making sure you are correctly typing in the host name that you set up for the mysql database. You can view this by going to Googides > Mysql and then finding your database and then clicking the big blue hyper link across from the database name.
If working properly it should promt you for a user/pass and then take you to the phpmyadmin. If this doesn't work... is this host name only used for the mysql, or did you set it up under domains as well?
if it's really only your mysql host name and you're not getting phpmyadmin by your site you need to contact support. If you are going to that hostname and getting an error saying it doesn't exists, then you need to wait a bit longer while your host name propigates acorss the DH DNS servers.
One the other hand, if you're desperate to get this up and going and don't want to wait for support you might be succesful in dumping the data in via telnet/ssh. search the k-base for help with this. But this might not even work if something is wonky with the database setup.
I'm sorry that your expirences with DH so far have not been smooth. I think it takes just a bit to get used to the feel of DH's panel and the way things work, but you'll get the hang of it fast and like it. (or at least I hope so!)