does phpdock allow an application to be run in windows but then if some MySQL action is taken it performs this on a remote database? ODBC connection style?

sure, remote database will work if network to access it is available. You can use mysql-related extensions such as php_mysql or php_mysqli, or ODBC/ADODB. But you'll need to install corresponding php extension and mysql library.
With phpdock we diribute very tiny php5 that contains only sqlite and a few standard extensions. Nothing else. For full package, please check http://www.php.net/get/php-5.1.6-Win32.zip/from/a/mirror