Hmm, that's a simple question that requires a long answer. Here's a few pointers.
1) First, HTML alone does not allow linking a website to a database. You need another language in between that will interface with the database and produce the HTML code on the fly using the query results. For example, you have a list of students in your database along with exam results and you want to post that list on a web site, in a table. The "middle language" would send the query to the database and fetch the results. Then, it would create your HTML tags (<table><tr><td> etc.) and form a valid HTML page with the results inside.
2) There are many "middle languages" available, the most popular (I think) being PHP. It's easy to install and will run on Windows, Linux and OS X all the same. It will interface with all of the most popular database management systems such as MySQL, PostgreSQL, MS SQL, etc.
3) Read read read. Nothing you get you started quicker than a good book. I recommend O'Reilly's
Learning PHP and MySQL which was of great use to me.
Hope this helps.