SQLyog will present you for different types of errors:
1) MySQL server errors. They are described here. They all have a 4 digit number starting with "1". An example is "Error: 1452: Cannot add or update a child row: a foreign key constraint fails (%s)". The error message is sent by the MySQL server itself to SQLyog and printed on the screen for your reference.
2) MySQL client errors. They are described here. They all have a 4 digit number starting with "2". An example is "Error: 2006: MySQL server has gone away". Obviously this error can't be a server error, because you can't communicate with a server that has 'gone away'! They originate from the MySQL API/client that is compiled into SQLyog.
3) Error messages originating from SQLyog itself. They are un-numbered/pure text only.
4) Communication/protocol errors. HTTP errors can occur when using HTTP-tunneling. SQLyog will then always display "HTTP error: ....."
When faced with an error message (to which the solution is not obvious) it is normally a very good idea to start realizing in what category the error falls. If it is a server error then the connection is still alive for instance. And also when posting in the Forums or contacting Webyog e-mail support, please always note down (or have a screenshot) the exact error number and -message. It is very hard to help or research into something like "I did this and had an error".