This is quite common problem and I found a lot of tutorials to help me solve it, although, there is one additional problem with my case...
This is my config settings
Change the line:
$cfg['Servers'][$i]['auth_type'] = 'config';
to
$cfg['Servers'][$i]['auth_type'] = 'cookie';
Restart and you will be asked for the password the next access to the phpmyadmin page