sqlite is fine for very very small jobs. But so are just simple text files. For large jobs you will want an SQL compliant database such as MySQL of even MS-Access. In that case you will have to learn SQL (Structured Query Language) Links to tutorials here
Here is another tutorial geared specifically for MFC
Like, for Java, you have to have connector/J installed to be able to connect to MySQL. http://www.mysql.com/products/connector/ As far as I know they don't all come with the MySQL installer, and need to be downloaded. I might be wrong, and if I am, feel free to correct me.