I wanted to create a C++ program on my Windows machine, and integrate it with a MySQL remote DB
C++ does not support this "out-of-the-box". You need to integrate a special library (the "connector") for connecting to the database server, sending queries to the database, retrieving the results and so on.
In case of MySQL, you probably want to use the MySQL Connector/C++ library from Oracle.
BTW: If you are new to C++, maybe first learn how to use 3rd-party libraries in your project!
(Some profound understanding of SQL will also be required, of course. After all, the purpose of the connector library is to send SQL commands to the MySQL server. You still need to write those SQL commands!)