The confusion probably lies in the message saying the file should exist. 
 There were 2 conditions
to that statement, and the first (make sure that mysqld is running) 
hadn't been met.

The file is SUPPOSED to be evidence that mysqld is running, and a socket 
connection is possible.
However, in your case, mysqld is not running, and the .sock file remains.
There are 2 ways to fix this.  1) delete the .sock file.  2) 
/etc/rc.d/init.d/mysqld stop
I would suggest the latter.
Mills, Wallace wrote:

>I have perused the archive lists (on Geocrawler) for a solution to my
>problem but have been unable to find an answer, so I am putting the question
>forward and hoping that some kind soul will be able to give me some advice.
>
>Scenario: RedHat 7.1 on a celeron 900 box, installed MySQL and its
>components via RPM.
>When I attempted to change the MySQL root user with the command "mysqladmin
>-u root -p password 'new-password' " I received the following error:
>"Can't connect to local MySQL server through socket
>'/var/lib/mysql/mysql.sock '(2)' check that mysqld is running and that the
>socket; '/var/lib/mysql/mysql.sock' exists!"
>I checked the directory stated for the mysql.sock and it does exist, but
>when checking the status of mysqld using 'service mysqld status' I received
>the following: "mysqld dead but subsys locked."
>My limited knowledge of MySQL (I am in the newbie class with MySQL) does not
>allow me to resolve this issue. In attempting to solve this problem I have
>uninstalled MySQL and its components and then reinstalled same but this did
>not have the desired results.
>I would certainly appreciate any help on this one.
>Thank you in advance.
>
>Additional question: In the archives there was mention of a log for MySQL,
>where would one find this on a RedHat 7.1 system when MySQL was installed
>via rpm.
>
>Wallace Mills
>
>
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