The Underscore Archives

I have a hosted site and I want to be able to access my hosed database from a desktop application. I'm informed by the hosting company (newnet), however, that they firewall off ANY external access to their databases. I.e I can only access the data through an application running on their server (i.e PHPAdmin or my own web app). Is this normal? I've used several hosting companies in the past and this is the first time that I've come accross this problem.  
Jason.