I'm assuming that your using Microstation/J Version 7.1.
Make sure the Microstation ODBC Component is Installed. You can install it off of the Microstation CD you have. ONLY install the "databases" item in the install utility or it will replace ALL your Microstation files and destroy your user preferences.
Now, check out the Bentley Select website. Do a earch on databases. You need certain tables in your database in order for Microstation to be able to use it.
Setup your ODBC connection to the database.
Explore the Bentley documentation for more info from there.
Have fun! There's a lot you can do with a database connection to Microstation. There's also a lot to learn!
Not sure what your question is, but you can make a Microstation file read-only by right-clicking on the file in explorer, choosing "properties" and then checking the box next to "Read-only". It prevents people from changing files accidentally (an message pops up when opening that says it is a read-only file).