SQLyog is a client application like notepad and cannot be used from a web-browser.
phpMyAdmin is a web-based application and is meant to be used from a browser.
Quote:
to my understanding the program is there, but it also goes through the web
I guess you are talking about HTTP Tunneling which is completely different. HTTP Tunneling saves your day if your ISP/MySQL provider disallows remote access, either my blocking the MySQL port or by giving access to “localhost” only. SQLyogTunnel.php provided with SQLyog Enterprise exposes the MySQL C API as web-services allowing you to enjoy all the cool features of SQLyog.
For more information on how to use HTTP Tunneling, just press F1 in the connection window.