SFS2X allows connecting to databases in a way that is very similar to its predecessor. All you need to do is downloading the JDBC connector from your Database vendor (e.g. MySQL or MSSQL) and drop the .jar in the {SFS2XRoot}/lib/ folder.
Of course if you use ODBC instead of JDBC you can even skip the driver deployment step. In fact the ODBC driver is already provided by the Java Runtime.
The following is a list of pages where you can find the JDBC drivers for the most common RDBMS:
The next step is running the SFS2X AdminTool, launch the Zone Configurator module, select your Zone and finally click on the Database manager tab to edit the configuration.
At the end of the process click Submit and restart the server.