connecting external mysql database with php

Is that p开发者_运维百科ossible to connect mysql database between servers. I mean, lets say i have 2 accounts on 2 different hosting service, one of them has database, and i want to connect it from other one with php.

When i try it, i get "Warning: mysql_connect() [function.mysql-connect]: Lost connection to MySQL server during query..."

my database is located on godaddy and i set it external access enabled.

Edit: I see it is possible but my host only allows connection via software;

"To use Direct Database Access to connect remotely to your shared hosting database, you need to download software that lets you connect to the database and manage it."

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It's very possible.

Make sure the host that has your database allows for external connections and allows that username/password combination to access the database (Usually something set via mySQL's GRANT option)