I believe that you have to set up the database through the panel. But once the database is set up, if you give him the host name, database name, user name and pass then he can access phpmyadmin as well as other command line utilties through shell. basicaly everything execpt creating new databases.
If you want, you can also create a new panel user and only give him access to that domain. That way he could set up new database, create E-mail address, etc. if you wanted. (that’s in the DH panel > Home > Account privelages)
Oh, and just FYI it’s MYSQL