(I presume that you've concluded that it's an iptables problem by dropping the firewall completely (iptables -P INPUT ACCEPT; iptables -P OUTPUT ACCEPT; iptables -F) and confirmed that you can connect to the MySQL server from your Windows box?)
Some previous rule in the INPUT table is probably rejecting or dropping the packet. You can get around that by inserting the new rule at the top, although you might want to review your existing rules to see whether that's sensible:
iptables -I INPUT 1 -p tcp --dport 3306 -j ACCEPT
Note that iptables-save won't save the new rule persistently (i.e. across reboots) - you'll need to figure out something else for that. My usual route is to store the iptables-save output in a file (/etc/network/iptables.rules or similar) and then load then with a pre-up statement in /etc/network/interfaces).