You're going to need to add that mysql host into your account configuration. If you're using xskin, you should see something like the attached image in your mysql section, right below the "users" specification.
Simply add the hostname, or ip address, and it should work.
You should also see if you can telnet to your server on port 3306 to see if you recieve a message like:
If you do, that means remote authentication is possible. If you don't, some firewall is blocking the connection.