Once I have the Java 2 SDK, Standard Edition, from Sun, what else do I need to connect to a database?
You still need to get and install a JDBC technology-enabled driver that supports the database that you are using. There are many drivers available from a variety of sources. You can also try using the JDBC-ODBC Bridge if you have ODBC connectivity set up already. The Bridge comes with the Java 2 SDK, Standard Edition, and Enterprise Edition, and it doesn't require any extra setup itself. The Bridge is a normal ODBC client. Note, however, that you should use the JDBC-ODBC Bridge only for experimental prototyping or when you have no other driver available.
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