You must provide more information! Nobody is able to help you without the relevant info!
SQLyog version?
MySQL version ?
connection type (non-tunnelled, HTTP, SSH) ?
Is it always the same server that you can't connect to ?
Does it matter in which order you establish connections ?
If you have upgraded MySQL did you run the script to update GRANT-tables ?
You can read through this as well
http://www.webyog.com/forums/index.php?act…ct=ST&f=5&t=658