It's entirely possible to have a script connect to a database and write all sorts of things. Just google 'mysql loadrunner'.
You might want to review your requirements though, are you trying to simply monitor a site to see how it performs over time? Is this a script to monitor a live system? There are far, far better (and easier) ways to do stuff like this than use a load testing framework.
The problem is, I must use a msSQL db. Does it only support connection on MySQL?
Yeah, I wasn't the one who chose to use Loadrunner as a tool for testing the website. Basically I'm pretty much stuck with it and I've got to deal with that... When I first was first told about how test were done, I did think that loadtunner wasn't designed to do this.
Just by curiosity, what would you recommend me to use for monitoring a website?
No, doesn't have to be mySQL, but why not? It's free and works.
Tools to monitor websites? I would guess that this is perhaps one of the most prolific types of software there is! There are so many tools to do this it's ridiculous. You've got free ones, epensive ones, SaaS ones, custom ones, quick ones, simple ones, advanced ones, integrated ones...far too many to name. If you are using LR to do this then I would suggest one of the quick, simple tools will more than meet your needs, You could find the worst, most rubbish monitoring tool on the market and it would be better than using LoadRunner!
Note. One tool (I forget which one it is) uses VUGen scripts, so if you already have these setup then that's a pretty nice bonus. It'll be one of the HP offerings.