In the config file, change the "host" variable to point to the external server. The config file is called config.inc.php and it will be in the main phpMyAdmin folder. There should be a line like this:
$cfg['Servers'][$i]['host'] = 'localhost';
Just change localhost to your server's IP address.
Note: you may have to configure the external server to allow remote connections, but I've done this several times on shared hosting so it should be fine.
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