You should be able to use an external SQL server. If your not sure how to connect to an external SQL server, this may be of some help
http://www.google.ca/search?source=ig&...mp;aq=f&oq=Note: The default port for MySQL is 3306 so you have to make sure that port is open to external conncetions on your servers firewall. Some people don't allow external connections however and resort to their customers either connecting through localhost in scripts, or by phpmyadmin run as a web application on the hosting server. I believe you will also need to log in as root and add % to the hosts field in the mysql database to allow any host to connect
Edit: Nevermind, was not sure of that. Thanks swordz