Does this FAQ help: http://www.webyog.com/faq/content/23/42/en/error-no-1044-access-denied.html
From any client that works (coomand line, phpMyAdmin or whatever execute as root (or another privileged user)
SELECT user, host FROM mysql.user
.. for the list returned identify the user and host that match the connection details you use from SQLyog. Next
SHOW GRANTS FOR 'user'@'host';
Replace 'user' and 'host with the ones that apply for the settings you use with SQLyog. What is returned?