Hi Gabor,
Please have a look at the below notes and docs might be helpful in resolving your issue.
1601608 - How to access an external Microsoft SQL Server database
1658310 - How to configure UD connect on the J2EE (710,..730) server for JDBC access to external databases
Configure UD Connect in NWA for 7.3 - SAP NetWeaver Business Warehouse - SCN Wiki
UD Connection - Integrating an external DB on BW ABAP 7.3 via BW Java 7.3
Regards,
Vengal.