First you need to create your data structure which you want to pass, then you need to create message types binding that structure, then you need to create a program which will use the proxy class created by the interface to push data to proxy.
All these steps except program will be created in Enterprise Service Repository.
Then you need to use Integration Directory to create the SOAP channel from SAP to PI and JDBC channel from PI to SQL Server. It is here we use our connectors.
Please refer: SAP PI for Beginners
and
http://wiki.scn.sap.com/wiki/display/XI/Step-by-Step+Guides
for step by step process. Hope this solves your problem.
Best Regards,
Deepak