It's not hard to connect with a MySQL database. There are several issues that you must take into consideration.
I think you have to have the professional version of BCB 6 (5 may have it too, don't know).
Just be careful not to confuse it with MSSQL.
Be sure your SQL port is open and/or forwarded to your computer/server.
Be sure you've set your database up correctly on MySQL.
If you need further info, let me know. I can look it up at home on some software I connected to mysql with.
Chris