I’m a complete n00b with phpMyAdmin but I have figured it out for phpMyAdmin 2.11.
Log into phpMyAdmin, select your wordpress database from the dropdown menu on the left and click the browse button for the wp_comments table. You should then see a list of all the comments in your blog. Look at the comment_approved field and if you see ‘spam’ but you want the comment visible, click the edit button and change the comment_approved from ‘spam’ to ‘1’ (without the quotes).