Flash has no native way to connect with a database however there are a number of ways to do so.

At a minimum it is possible to use flashvars and url requests
 - with asp / php scripting on the server doing the actual data retrieval
 - which it then parses into a flashvars formatted text stream.

These days however connections via web services tend to be a much cleaner option,
In which case instead of receiving a flashvar stream - you receive an xml stream from the webservice.

Would suggest you do some google searchs on flash and ms sql or webservices

Westa