without knowing what the database and message content type you want to communicate...

if you are trying to access a windows database directly, you can use a client - i.e. mysql on unix to mysql on windows... if it is microsoft sql, you could try doing odbc... if you need something fast, try doing something with NFS or SAMBA to share a file system that you can read / write files to. you could also use ftp scripts to poll messages

lots of options!