The following tutorial is done with Debian Squeeze version 6.0.2.
In this tutorial, I will show you the shortest and easiest way to set up nginx  with PHP5, MySQL and phpmyadmin running through FastCGI:

Step 1: Installation:

apt-get install nginx mysql-server mysql-client php5 php5-cgi php5-mysql phpmyadmin

NOTE: After you have installed all above you will need to edit the php.ini file:
Open php.ini file end remove the ; in front of the line cgi.fix_pathinfo=1

Step 2: Make PHP FastCGI daemon listening on port 9000 on localhost and start at boot.

Edit the /etc/rc.local file and put the following content:

vim /etc/rc.local
/usr/bin/spawn-fcgi -a 127.0.0.1 -p 9000 -u www-data -g www-data -f /usr/bin/php5-cgi -P /var/run/fastcgi-php.pid

Step 3: Create virtual host file for your site:

Now, you create the virtualhost file in the /etc/nginx/sites-available folder.
You will enable the site just created with the following command:

ln -s /etc/nginx/sites-available/yoursitename /etc/nginx/sites-enabled/yoursitename
/etc/init.d/nginx restart

Example config for virtualhost files:

server {
listen        80;
server_name    www.debian-tutorials.com;
access_log    /var/log/nginx/debian-tutorials.log main;
root    /var/www/debian-tutorials.com;

error_page   404  /404.html;
location = /404.html {
root   /var/www/;
}

error_page   403 /403.html;
location = /403.html {
root   /var/www/;
}

error_page   500 502 503 504  /50x.html;
location = /50x.html {
root   /var/www/;
}

location / {
index    index.php;

if (-f $request_filename) {
expires 30d;
break;
}
if (!-e $request_filename) {
rewrite ^(.+)$ /index.php?q=$1;
}

}

location ~* ^.+\.(gif|png|ico|css|js|jpg|jpeg|html|htm)$ {
access_log    off;
expires        30d;
}

location ~ \.php$ {
fastcgi_buffers    8    32k;
fastcgi_buffer_size    32k;            fastcgi_pass            127.0.0.1:9000;
fastcgi_param    GATEWAY_INTERFACE    CGI/1.1;
fastcgi_param    SERVER_SOFTWARE        nginx;
fastcgi_param    QUERY_STRING        $query_string;
fastcgi_param    REQUEST_METHOD        $request_method;
fastcgi_param    CONTENT_TYPE        $content_type;
fastcgi_param    CONTENT_LENGTH        $content_length;
fastcgi_param    SCRIPT_FILENAME        /var/www/debian-tutorials.com$fastcgi_script_name;
fastcgi_param    SCRIPT_NAME        $fastcgi_script_name;
fastcgi_param    REQUEST_URI        $request_uri;
fastcgi_param    DOCUMENT_URI        $document_uri;
fastcgi_param    DOCUMENT_ROOT        /var/www/debian-tutorials.com;
fastcgi_param    SERVER_PROTOCOL        $server_protocol;
fastcgi_param    REMOTE_ADDR        $remote_addr;
fastcgi_param    REMOTE_PORT        $remote_port;
fastcgi_param    SERVER_ADDR        $server_addr;
fastcgi_param    SERVER_PORT        $server_port;
fastcgi_param    SERVER_NAME        $server_name;
fastcgi_param    REDIRECT_STATUS        200;
fastcgi_index            index.php;
fastcgi_intercept_errors    on;
}

location ~ /\.ht {
deny    all;
}
}

Step 4:  Now  enabe PhpMyAdmin for http://www.debian-tutorials.com

Just create one simlink from PhpMyAdmin foler to Debian-tutorials.com folder:

ln -s /usr/share/phpmyadmin /var/www/debian-tutorials.com/phpmyadmin

Step 5: Restart nginx to load all configs:

/etc/init.d/nginx/restart

Now you can access PhpMyAdmin  without getting any problems using the link: http://www.debian-tutorials.com/phpmyadmin/

Enjoy.