That's not the command to set the root password, just the command to login with mysqladmin and run the command new_password (which probably isn't a command at all).
To set the root password in mysql, login as root with
mysql -uroot -p, then follow
this syntax to change the password.
If you do not have the current root password you'll need to follow
this procedure to reset it. It involves running the mysql daemon in a special 'safe mode'.