If you have command line access to your MySQL database server you will need to use certain parameters to log in. Most web hosts will not allow you to do this, so you might want to install MySQL into a local computer and give it a go.
To log into mysql you must run the program called mysql with certain parameters. Here is an example.
./mysql -u username
One thing you must realise is that all usernames are associated with a host so if the user you specified can't access the server from this host then you won't get far. To specify the host location enter the -h flag.
./mysql -h hostaddress -u username
If your user is able to access this server then you will be asked for a password. You can set the password in the string using the -p flag. If this doesn't work then leave out the space between the -p and the password.