Hi
Please can you take a look at this page
http://www.sqlexcel.net/SQL-Excel-Support/How-to-Setup-up-a-connection-to-MYSQL-Flash-Demo.html
I tried to make a short clip on this a while ago and hope this will help get you going.
Basic thing is to install the MYSQL connector and then use this to setup the connection.
On the remote server, you also need to make sure you are permissioned to connect to the database from your local machine (often this permission needs to be added explicitly)
Please take a look at this video when you can. Hope it helps you get setup.
Thanks, al