You should establish database connection to get database server and Store Manager for Magento application communicate with each other. It can be done through direct, PHP MySQL bridge connection or direct connection through HTTP tunnel.
Each of connection types has its peculiarities that should be considered by site administrators. Bridge connection, for example, allows you to work with local copy of store database and synchronize with live one afterwards. Contrariwise, working with direct connection, you get all the changes applied immediately.
If you prefer direct connection, you should be aware about SSH option. To ensure secure Magento database connection you can configure SSH tunnel. It links a port on your local machine to a port on remote host. SSH provides a secure channel over an insecure network in a client-server architecture. This is advantageous, since communication between your local machine and host is encrypted.
To set SSH open Preferences, go to Database Connection->SSH, enable Use SSH and configure settings: SSH host, SSH user, Authentication by, SSH password, remote port.