How do i establish connection of the Expensive site having a database(i.e. MYSQLetc)?

I needed to do that for any college project Used to do before and you will easily get it done using the URLLoader and URLVariables operates by stocking your variables and delivering these to a webpage or recieving the variables after which taking them from the URLVariables function.

However should you be passing arrays or dynamically selected variables then you should pass all your data like a comma seperated string after which parse through it on the other hand and the other way around.

I'll attempt to publish some actual code after i go back home however i hope this assisted

You can't connect with a database server from expensive. To talk with the database you'll need a webservice.

If you want to pass the information from Expensive to Database , for instance Registration information , then stick to the Tutorial

I suppose you've knwoledge of Server Side Scripting like PHP or C#

There's a task known as assql that connects Expensive straight to the database but is targeted at AIR projects. AMFPHP will work for using php in order to save towards the database from AS3.