As to your question about databases compatible with Mendix: please have a look here:
To connect for example a MS SQL database, you can follow these steps:
- Create a database in MS SQL server
- In Mendix, under the project tab in the file explorer open your settings.
- Open one of the configurations
-Set database type to MS SQL Server (here you can see other available types).
- Set the correct name and authorisation, standard URL is localhost:1433 I believe
Now you can start your app and it should work. If there is a pop-up click on synchronize database.
Hope this helps!