If I want to connect to my sandbox then the host name should be https://test.salesforce.com. What should the host name be if I want to connect SQL Dataloader to my developer box. Thanks
You should be able to see your dataloader login attempt on your users login history. This can often reveal the issue. If you don't see the login attempt, you are probably pointing to the wrong endpoint (login.salesforce.com or test.salesforce.com). If you do see the attempt, you should see why you couldn't log in, either invalid password, or missing security token.