Can I use another server for my database?

its not secure but yes you can :) after you enter site for install script and after you change permisions of files you have enter name of your comunity after thath you have enter mysql server... enter your second server here :) for default this server is localhost (same server)

sorry for bad english :)

Security Concerns would be depending on how you have your mysql server setup and how you have your connection setup.

CyberXing