Here is the dialog problem’s notification when you download an executable one of HeidiSQL client and try  to connect to MySQL server without  the properly setting environment.

You can fixed this problem by set the path for MS Windows’s environment to  libmysql.dll for your PATH. Here are the steps.

1. Press  [windows btn] + R   to open Run dialog , then type the following command into the text box
sysdm.cpl ,3
2. On the advance tab press  [ Environment Variables ]  button . You will found the environment dialog then add the folder where you place libmysql.dll  at the end of the line like this , ( depends on your environment)