This program enables you to improve the security of your MySQL installation in the following ways:

• You can set a password for root accounts.
• You can remove root accounts that are accessible from outside the local host.
• You can remove anonymous-user accounts.
• You can remove the test database, which by default can be accessed by anonymous users.

Invoke mysql_secure_installation without arguments:

shell> mysql_secure_installation

The script will prompt you to determine which actions to perform.

Source: http://dev.mysql.com