I just recently set up phpMyAdmin on one of my hosting servers and that thing you'd like to set up is possible.
It's actually pretty simple because you need to set it within the config.inc.php
open up config.inc.php
file, and look for the following line:
$cfg['Servers'][$i]['auth_type'] = 'config'; // Authentication method (config, http or cookie based)?
All you need to do is change it to:
$cfg['Servers'][$i]['auth_type'] = 'http'; // Authentication method (config, http or cookie based)?
That's it, when you have people go to http://www.yourdomain.com/yourphpMyAdminfolder/
it should ask each visitor for the username/password of the MySQL database
Oh and it's always good to read the documentation of phpMyAdmin :P