Yep same exact problem going here with me as well. One quick and dirty way to connect to the MySQL server though is to modify the PHP script to
$dbh = mysql_connect( "localhost", "localhost", "" ) or die("not happening");
$dbh = mysql_connect( "localhost", "root", "" ) or die("not happening");
Of course this doesn't address the core of the issue--setting the mysql root password however, it does allow you to play with php & mysql a bit.
If your setup is purely for testing purposes only than having your system securely locked down perfect is a secondary issue. The more important thing is being able to check your code to ensure it works locally before uploading to the real web server where it matters.