“MySQL HOST ADDRESS” tells SQLyog the computer in which the MySQL server is running. If you have MySQL installed in your local machine then the host address is “localhost”
For more information you can contact your MySQL Admin.
If you have a hosted MySql db (an ISP provides it to you), then you should ask your provider how to connect to your db. Otherwise, the host address is the IP address or the name of the computer where you have the MySql db running.