Is it a server of your own or one at an ISP/webhotel ??
in the URL field on the tunnel-tab just write the path to the SQLyogTunnel.php-file RELATIVE to your webroot-driectory- like
http://www.mydomain.xyz/SQLyogTunnel.php
or
http://ip.ip.ip.ip/SQLyogTunnel.php
if the “theecoop.com” -folder is your webroot folder and SQLyogTunnel.php is there.
What the folder name is oin the server file hierachy doesn't matter – if it's only YOUR webroot folder. The webserver and it's configuration will take care of that.