Jorge, I don't fully understand your question. I assume that on Windows Embedded devices, the Windows tools that enable usb communication, also setup a network link between the PC and Device. which allows the mobile windows device to reach the network address of the MySql server hosted on the PC.
On Android, you may be able to use the port forwarding feature of ADB (Android Debug Bridge) to allow your app to access the mysql server on the pc. Android Debug Bridge | Android Developers
Thanks for your replay. Then I'll trying to use the ADB.