connect Jenkins to Microsoft SQL Server?
It really depends on what you really want to do. If you just want to run a script which connects to the DB and executes the queries using the command line client, you can use the existing "execute shell / batch" build step, or some of the plugins:
- ssh plugin - remotely execute a script
- x-shell plugin - makes it easier to integrate scripts for cross-platform envs
You could also try and build your own starting from the basics, Jenkins library plugins