This is a SQLyog's internal error.
It occurs when SQLyog is not able to correctly parse the XML sent by SQLyogTunnel.php. Generally, it happens when the webserver sends incomplete XML data.
With v4.2 BETA 6, I will add an improved logging mechanism where it will log the received XML in sqlyog.err. This is will give us a better insight on the error.
BTW, before showing the error, SQLyog would have shown the HTTP response in a dialog box. Can you cut-n-paste it out here?