Once again, ve9gra, for your quick response. Just as I posted I thought I would try a different Host Name instead of "localhost" and it worked. GoDaddy needs -
?????cal.db.1234567.hostedresource.com be used (????? is my calendar name and their generated 7 digit number) for the Host Name.
Yay! So I can now connect to my MySQL calendar database. I hope this may help anyone else that is using GoDaddy hosting.
So now I just have to come up to speed on intergrating into my web site.