First of all, SQLyog has nothing to do with storing MySql db tables. It's up to MySql's configuration.
Secondly, MySql is not a file based db manager like Access, but a server based one. This means that there is a daemon/process listening at a given port (or pipe, but that is very uncommon) which responds to incoming requests.
It would be nice if you copied the connection string here and disclosed some details about your MySql configuration!