You could use ODBC drivers.
See this simple code sample:

Code:
	CDatabase	db	;

	BOOL bSuccess;
	TRY
	{
		CString	strDriver =  "SQL Server";
		CString	strConnect;
		bSuccess = db.OpenEx( _T("DRIVER=MySQL ODBC 3.51 Driver;DATABASE=test") );
		if( bSuccess)
		{
			//db.ExecuteSQL( _T("INSERT INTO TABLE1 VALUES(1, \"test string\")") );
			CRecordset	query( &db );
			query.Open(	CRecordset::snapshot,
							_T("SELECT * FROM TABLE1") );


			while(query.IsEOF() == 0)
			{
				CDBVariant	value;
				query.GetFieldValue(_T("test"), value);

				query.MoveNext();
			}
			

			bSuccess = FALSE;
		}
	}CATCH_ALL ( ex)
	{
		TCHAR pszmsg[256];
		ex->GetErrorMessage(pszmsg, 256);
	}
	END_CATCH_ALL
You will need the propper ODBC Driver for your Database System. MSSQL and MSAccess Drivers are shipped with Windows as far as I know. MySQL Drivers are available for download...