How to connect to my database via SQL ManagmentStudio?

You can connect via SQL Server Management Studio by typing your domain in the "Server name" field (domain must point to the hosting) and remove if any ports are added.

Under Authentication, select "SQL Server authentication" and enter the Plesk database username and password. Make sure that port 1433 is not blocked on your computer.

You also need to log in to Plesk and go to Databases - select the database user, then select Allow remote connections from and write the IP of your computer.

Note that it can take up to 24 hours after you've added your IP to Plesk for it to take effect.

Also check in the SQL Management Studio settings that TCP/IP is enabled.