Comments - Local socket communication, path in my.ini
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http://dev.mysql.com/doc/refman/5.5/en/server-options.html#option_mysqld_socket
"On Unix, this option specifies the Unix socket file to use when listening for local connections. The default value is /tmp/mysql.sock. If this option is given, the server creates the file in the data directory unless an absolute path name is given to specify a different directory. On Windows, the option specifies the pipe name to use when listening for local connections that use a named pipe. The default value is MySQL (not case sensitive). "
You are on Windows, hence no file.