Recording this for posterity and potentially to help others...
It's the first time I have used HeidiSQL. I am using it on Windows 10 (latest updates) in conjunction with MariaDB 10.6.3.
Initially, in HeidiSQL Session Manager, when I clicked [Open], it complained that libmariadb.dll could not be located.
Searching this very forum, on "libmariadb", I found what at first seemed a likely explanation at (not allowed to post links yet - sorry) - "VC++ 2015 redistributable" needed to be present. However when I checked my system, "VC++ 2015-2019 (backwards compatible) redistributable" was already installed on my system.
Finally I updated HeidiSQL to the latest version (11.3.0) and that works fine. I have no idea whether it was the newness of the new version or something about the installation process (for that new version) that fixed this. Just glad it's fixed !