Do you allow remote access to MySQL ?
'Remote access to MySQL' is only allowed for VPS & dedicated server.
If you are using Shared Hosting : https://billing.netkl.com/planscomparison.php , that feature is not allowed.
However, you can always create your SQL Database thru your cPanel.
Here's how to do it : http://www.netkl.com/tutorials/cpanel/cpanel-x3-createmysql.html
To manage your SQL Database, you can click on PHPmyAdmin : http://www.netkl.com/tutorials/cpanel/cpanel-x3-phpmyadmin.html
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Kindly watch the tutorial video at : http://www.netkl.com/demo/cpanel/12CreateDatabase.htm