Im struggling too, though i'm sure the solutions is easy once explained.
I am wanting to connect from Data Loader (though the process seems simular from Access 2007, which i can't get to connect either).
I am trying to connect to the SQL sever running on my heliohost account.
i am trying the following settings
Server : ballam.heliohost.org
Port : 3306
Username : (user created on the mysql wizzard at ballam.heliohost.org)
Password : (password for user created on the mysql wizzard at ballam.heliohost.org)
Database : (database created on the mysql wizzard at ballam.heliohost.org)
When i try to connect i get the error that is in the attachements.
I have checked the Windows Firewall, and made an exception for Data Loader
Now i suspect this could also be an issues with the SQL Driver, but hopefully someone can set me on the right path