Kevin, as they say 'there are many ways to skin a cat' but lets start with some basics. SqlDataProvider files are executed during module installation time and are named by version (ie. 01.00.00.SqlDataProvider is full file name). These files are simply transact sql files with some minor additions specific to dnn (objectqualifier and database owner). They are executed based on current version of a module installed and the new version being installed (ie. module 2.0.0 version being installed, current installed version 01.00.00). What would happen when you install your 2.0.0 version, you would only have 02.00.00.SqlDataProvider file executed (which is any updates since previous data provider files, in our case this would have only been 01.00.00.SqlDataProvider). This is the basics, you can get more details specific to .SqlDataProviders and dnn module development other links later on. So to summarize your modification of the DNN and the separate application database, you would use your new version 02.00.00.SqlDataProvider file you create and it will be installed automatically by dnn when you install your module. 

One thing you probably won't find too much info on is executing in other application databases from the sqldataprovider files but it really is simple SQL permissions and object naming (ie. server.database.owner.object). Pretty much, if you name your non-DNN database objects using that full format you have to make sure the account executing the dnn database also has proper permissions in the non-DNN database (typically, this requires owner permissions). There are also other possibilities here, depending on how you are accessing the other database (using dnn sql connection string, or your own). 

As for great links online, books about DotNetNuke and module programming are available. Michael Washington, a Core Team member and also a book author, has lots of online information available about DotNetNuke which can be found @ his main website or here:http://adefwebserver.com/DotNetNukeHE.... It is outdated but it covers more than enough for what you need to do now (and applies to your situation more than his updated one he links to there).  

I generally put it in the root of the zip file, although if you are using the .dnn manifest file format for DNN 5 or greater, you can specify the path to use sub-folders in the zip file. Will Strohl did a blog post for skin widget packaging which also points to some manifest file (which is the .dnn file) blogs that Charles Nurse wrote: http://www.willstrohl.com/Blog/EntryI.... Pay attention to the script blog Charles did as an example for what you are focused on now.