phpMyAdmin is available from
www.phpmyadmin.netIt is a script which lets you create and manage tables on MySQL.
So instead of having to manually run the SQL for creating a table, you can simple use the interface of phpMyAdmin.
In addition, when you use phpMyAdmin to do any action on your database, it will show what SQL code it used to do it. So you can learn how SQL works by observing what phpMyAdmin does when you, for example, create a new table.
An .SQL filewould just be file that contains SQL commands, but it's not necessary to actual have it as a file. The important part are the SQL commands themselves inside, and you don't need them to be in a file.
As Zeggy said, If you have SQL commands already, and you want to run them, then you can input then in phpMyAdmin and it will run them for you.