Do you mean you want to communicate with a MySQL database? Use mysql.dll, it's available on mircscripts.org.
If you mean you want to create an actual SQL database with mIRC scripting then sorry but that's a bad idea. It would be ridiculous to try it even if you were an expert on the subject (which by asking this very question I don't think you are). If you ever got anywhere on it it would still be 99% unuseable and/or impractical.
