Wow, sorry to have started a DB Server fight! Heheh! Thanks for all the replies anyway guys!
In reply to some of the questions:
I'm using ASP and don't have a choice of PHP.
I'd love to install the ODBC driver but I can't install anything from that login. I have tried to do it manually but although the driver registering exe reported a success it doesn't work, I think this is to do with the files being outside the default folder, or possibly it just needs a reboot (which I can't do). I'd ask the host for help but they barely help us at the best of times and currently there are some high-up politics going on regarding that that I really don't want to get involved in.
I know the MySQL server accepts remote connections from predefined IP addresses as I have tested it from my own PC.
I just thought it would be fairly straight forward to do this, I guess not.
Maybe I should just leave it for now and get looking into better hosting... Has anyone here used Rackspace?
(Going to investigate ajbrun's idea before I totally give in though...)