Which operating system are you using? Does the program at least run and give you the option of inputting the various connection settings that are required?

I've just assisted someone else with a connection problem and it turned out that allowing remote connections at their host was turned off or not activated.

If connecting remotely, that is from your home computer to a remote server (not your home computer) then make sure at your host that you have allowed remote connections.

Using cpanel, I have a module or program within the Database section called, "Manage Remote MySQL Access". Enter that module and a screen should appear for input of remote hosts. You now have to think in reverse. The remote host is your local computer, that is your local/home computer wants to access the server database. Simply enter your local/home computer ip address. To make it really simple, enter a "%" sign which is a wildcard for all ip addresses.

If you don't use cpanel or your cpanel version isn't as per above I'm sure you should find similar process to turn on remote access. If not, your host should be able to set things for you.

In time I'll update the manual re - the above.

I hope this helps.

Update: Manual updated.