SQLyog does not change any files on the server. It has no access to do so either! It is only connection details that are saved to the sqlyog.ini file on your local machine.
“Since then I lost my connection between my client and the server” What client are you talking about here? A client on the server or on your local? If it the 'mysql' client did you change the port setting in the [client] section of the my.cnf file as well?
I have no experience with the 'stunnel' program and do not know what it does. Is this a client for Windows or a SSH-add on for Linux? Most people use Putty for creating a SSH connection to a shell session on *nix. There is no issue with running Putty and SQLyog at the same time. Do you use this 'stunnel' with SQLyog somehow? SQLyog Enterprise has a SSH-tunneller of its own.
“I did a “find” in the server but I didn't find any “my.cnf” “. I really do not understand how you can change the MySQL port without having acces to the MySQL configuration file. Are you sure that you started the search form the OS's root folder ('/' not to be mismatched with '/root') .It should be in /etc folder (guess it is Linux?)
Please explain a little bit more – if you still have problems.
