No you don't need to open port 3306 to run SQLyog!
If you run a MySQL server on your local machine and want to allow direct connection from a remote client then you must open port 3306 – no matter what client is used for connection.
More on routers and firewalls here:
http://www.webyog.com/faq/index.php?action…d=40&artlang=en
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