That's a huge subject that can fill an entire book. In fact, it has filled several of them. You will need to elaborate on what it is you are trying to do. And keep in mind that setting up and using a relational database (in most cases with free/cheap hosting, that will be MySQL) is a large subject all on its own.
And if you do decide to follow up, please spell things out properly (or at least as close to properly as you can manage; we're not spelling or grammar Nazis). The word "to" and the numeral "2" are quite different things; linking to a SQL database is quite a different thing from linking 2 SQL databases. (SQL Server is Microsoft's brand, by the way, not a generic term. There are some similarities across relational database management systems and SQL dialects, but each is a little different.)