If you are on dialup then yes, your IP address changes every time you connect. They need to grant access to your database to yourlogin@%.
The other thing you can do is use ssh to tunnel the port.
1: Setup putty to tunnel 3306
2: Connect to your host with putty (ssh)
3: open sqlyog
4: connect to localhost with sqlyog
I do it for one of my databases and it works great. (I use SecureSSH from http://www.vandyke.com though)
HTH,
=C=