I just went through one of the tutorials by Michael Washington for creating modules and using the DAL+ and now I have questions.

• I was able to take that module, add a SQLDataProvider control which gave me a connection to another db, and display or manipulate data from the other db.  Is there any problems or shortcomings by doing this?
• Is the DAL+ only needed to work with data from the DNN database itself? I guess that's another way of asking the first question.
• How do you handle modules that need to display multiple pages and pass data to them, like a "wizard" that builds upon info with each screen.  Do you create different modules for each page?

• The DAL+ is a method for creating modules that can be distributed to other DotNetNuke sites (or from your development to production). It is designed to quickly connect to the current DotNetNuke database the site is running on. If you connect to another database you are using your own custom pattern. This is fine, it is just not the DAL+
• Yes
• If you need to display multiple pages see this tutorial: NavigateURL: How to make a link (VB &C#)  

You you can but it is not recommended because:

• DotNetNuke modules allow you to easily and reliably move code from development to production
• Using modules together with proper use of the DotNetNuke API allows you to more easily upgrade your DotNetNuke instillation.
• Creating modules using the DAL+ and the WSP project model (the same model that is used in the DotNetNuke Website Starter Kit) is FASTER than creating .aspx pages.