With phpMyAdmin, there are different means of authenticating ("auth_types"). These are generally set in the configuration file,
config.inc.php, using a line like
$cfg['Servers'][$i]['auth_type'] = 'cookie';.
http prompt the user for username and password when connecting;
config means it's hardcoded in to the configuration file and you're automatically connected. The default in the official phpMyAdmin distribution is
cookie, however it sounds like XAMPP makes it
config. You should be able to change that simply by editing the
config.inc.php file and changing (or adding) the line mentioned above..