Phpmyadmin vs What?

Do I always need to use phpmyadmin to administer my database?
Isn't there any software sitting on my pc and connecting to database to do the job?

I would expect a search on google to give you plenty of possibilities!

Since you refer to phpmyadmin i guess you are using MySQL.
You can take a look at HeidiSQL.

In case of MS SQL, it has its own free express client.

Just remember that you will have to make sure the necessary ports are open and allowing user to login from remote computer.