Do you have MySQL server running on the server? Can you actually run queries on the server?
Try downloading MySQL control center and see if you are able to connect. Also, make sure the port is 3306 (unless you have specified to connect through a different port).
I have been using DirectMySQL for a couple of years with no hassles, so I think it is something to do with the server set up.
------------------------------------
There's no place like 127.0.0.1
------------------------------------