Hi
Hope all is fine.. The first time you set up a connection it can be a bit confusing.
There is a basic tutorial on setting up a connection to a mysql database here:
How to Setup up a connection to MYSQL (Flash Demo)
Maybe someone else knows where there is a better tutorial on setting up a mysql connection ? If anyone does know, it would be a big help if you could post it up.
After setting up the connection - if the database is hosted on a remote server (web hos..) -then you will need to setup the permissions on the remote server for your database ID to access the server from your computer.. This is nearly always required. You can just add a trusted IP to your database login ID (in the cpanel or in your server administration panel..).
I hope that is enough to get you going. Please let me know if you have any issues.
Thanks and have a good day