You could tell a little bit about what happens ! Does it just time out, or do you have an error message ?
But it's likely that the ISP/webhotel won't let you connect from remote on port 3306 (a lot of ISP's are plagued by DOS attacks on their MySQL server prots at this time. So has my own and they closed the port. If that's the case you can use the tunnelling features of sqlyog entreprise.