(assuming mySQL) if the two db's on two separate servers then you must do two separate connections:
$connect1 = mysql_connect('host1', 'user1', 'pass1');
$connect2 = mysql_connect('host2', 'user2', 'pass2');
and then refer to $connect1 and $connect2 accordingly. if they are are on the same server then you need to make multiple calls to mysql_select_db().
FWIW: i would say just put your session table(s) in the same db as the board to simplify things.