I was able to set up a MySQL connection in Dreamweaver thanks to Twebman's excellent tutorial.

Now, I see that Dreamweaver created a folder called _mmServerScripts in my public_html folder. Is it OK to delete it if I am already calling another connection script in my scripts? Basically, I don't want to have the connection script available in my web space. I have disabled index listing so that people can't see the folder contents, and it's in php so the db login isn't revealed in the browser. However, I would prefer not to have something if it's not necessary.

You could try to delete the folder and then run your script and see what happens.  If your script won't run, it shouldn't be that hard to get DW to create that folder again.