How to connect the SQL db which is located in internet?

That's not a question we can answer, or at least not directly.

It is possible - it's called "remote access" but it has to be enabled by the hosting service, and that's not too common because it's a huge security risk - you open up the whole DB Server to the internet, not just the single database you personally are interested in. And since most hosting services "share" an Sql Server instance between multiple users (it's too expensive for them to buy a new licence for each user) that means every client's DB is exposed and potentially vulnerable to exploitation and / or malicious activity.

Hence, it's a fairly rare thing - you'd nave to discuss this with the specific hosting company.

But ... you could put in a WCF "bridge" on the server which your app talks to and which accesses a DB "behind the firewall" - be a fair amount of work though and probably require a redesign of your whole app!