// connect to database server
$db_conn = mssql_connect("MYSERVER","<user>","<password>")
or die( "<strong>ERROR: Connection to MYSERVER failed</strong>" );
// select database - only if we want to query another database than the default one
mssql_select_db( "mydatabase", $db_conn )
or die( "<strong>ERROR: Selecting database failed</strong>" );
I highly suggest you hit up on some tutorials out there.
Google is a great tool to get what you are looking for.