I am using windows XP and PHPed to try to connect to my linux webhost & MySql server...

PHP Just locks up when i try

Can anyone help???

Are you connecting to local or remote mySQL server?

If remote you need to have permission to connect from your local box or from IP that you currently using.

Hope this helps.

Yep, as stated by new_boy, you'll have to GRANT appropriate rights for incoming user (see GRANT syntax in mysql manual) and check firewall settings to allow incoming connections on TCP/3306.
Alternatively you can forward socket through ssh tunnel for example
ssh -L 3306:localhost:3306 username@linuxhost
In this case you'd set localhost as host name for mysql account.