OK, an example, you have a table called customers and each customer has an id and you want to select all the details for the customer with an id of 1 (this is so simple it should work so it is not a query that will fail, just adjust to match your table and column name(s)).
Login to phpMyAdmin, select the correct database on the left menu and then click the SQL tab towards the top of the page then type or copy in your query, in this case
SELECT * FROM customers WHERE id=1
When you have an error your want to check just copy and paste your query into the SQL form (as above) replacing the $ variables with actual data.
It is the same as using or die(mysql_error()) at the end of your queries in your PHP but just done within the database itself so can sometimes be a bit quicker and easier for testing/debugging.