Start here: http://code.google.com/p/pyodbc/
You'll have to download and install pyodbc, make sure you get the version that matches the python version you have installed, most likely the version that installed with ArcGIS.
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import arcpy, pyodbc
cnxn = DRIVER={SQL Server};SERVER=cloak;DATABASE=test;UID=user;PWD=password
cursor = cnxn.cursor()
cursor.execute("{any legal SQL stmt you would execute in SSMS}")
cnxn.commit()
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I use it to get the functionality out of ArcGIS and the speed of SQL.