You aren’t going to want to have the SQL information in the client at all. That is a big security risk. What you need is either a PHP server (which would get really slow if you are updating more than once every couple of minutes with a bunch of players), or a dedicated server which has that information.
Is this a multiplayer game where you can interact with other players? If so, I’d honestly not recommend going the PHP route at all. Reason being, you are going to want to sanitize and validate all input from the player. Doing this in PHP would be insanely slow. You’d be much better off writing a dedicated server and referencing the MYSQL API (http://dev.mysql.com/doc/refman/5.0/en/c-api.html) to save database information on the server computer.
If this is a single player game that just has data saving to a webserver, you can go the PHP route. You’ll want to use the built in HTTP request features already built into the engine. They can be found at Engine/Source/Runtime/Online/HTTP.