The Databases tab, in detail.
Creating a database offers to create its primary user in the same stroke - accept that unless you have a reason not to; a database without a user cannot be used by anything.
Add user attaches more users to an existing database, each with a role - full rights for the application itself, tighter rights for, say, a reporting tool that should only read.
Change password is per user, from its row. Your website's configuration must be updated with the new password at the same moment, or the site loses its database until you do.
The phpMyAdmin button opens the database in the web manager, already signed in - browse tables, run SQL, import and export dumps. Export is also the quickest manual database backup there is.
Deleting a database asks first, and means it: the data goes with it.