what database do you want to connect to? KNIME provides db specific connectors for several dbs e.g. postgresql and mysql via the KNIME Connectors for Common Databases extension for Hive and Impala via the commercial Big Data extension. You cann install all the extensions via the KNIME update site simply open KNIME and go to File->Install KNIME Extensions.
For all other databases you have to register the apropriate JDBC once in KNIME as decribed in the DB documentation.
Yes at the bottom of the DB documentation page you can find a collection of links that point to JDBC drivers of different vendors including MS SQL Server.