We need to configure MySQL to allow for remote connections.
For example when it fired up SQLYog I got this:
So we need to do some configurations on the MySQL box.
Go there and start up the MySQL Command Line Client.
>use mysql;
> grant all privileges on *.* to 'stefan'@'%' identified by 'pekka';
> flush privileges;
Now it was ok - using the username stefan instead (root shouldn't be used really).