RDP has nothing to do with it.You mean, that i cannot connect while using RDP?
With MySQL you can define the PCs that a user is allowed to connect from.
For example, say you have three PCs: A, B and C.
You install MySQL on PC A.
You create three MySQL users: X, Y and Z.
You can (for example) say that user X can only connect to the database from PC A, user Y can only connect from PC C, and user Z can connect to the database from any PC. If user X tries to connect to the database from PC B he will get the message "Host B is not allowed to connect to this MySQL Server".
The default configuration for the MySQL root user (which is normally used by MediaPortal) is that he can only connect to the database from the same PC that the database is installed on.