Is it a MySQL database?
First you'd need to make sure your host allows connections from outside of their network (I mean this as in my friend's host SQL server only allows internal connections from his webspace or PHPMySQL Admin page - he can't use MySQL admin tools or anything on his PC)
You would need to check out
http://www.connectionstrings.com when you know what SQL database system it is using (MSSQL, Oracle, MySQL etc)