The physical location of the data really doesn't matter because mysql is a server application. Another program that helps you manage mysql databases is Mysql Front. There's a copy at
http://twebman.lunarpages.com/files/MySQL-Front_2.2_Setup.zipYou wouldn't use OBDC on a Linux box, and even if you run the server on a Windows box, though you could use ODBC, you could also use php (you would have to install php on your machine, not difficult). On the servers, you would want to use either php or if you use perl, the DBI/DBD module. There's some information on the first sql page of the control panel, and there's plenty of information at
http://www.mysql.comAs Stephan said, running any server on your computer opens a potential security risk and you should only run it when you need to, and run a firewall that monitors activity. You can also tell many firewalls not to let a server program accept connections from the Internet, but to accept them from your local network. This is an excellent way to maintain security and still work on your pages locally in an application environment.