Tim Regan has a comprehensive description of how he got SQL Server 2008 running with processing. I found some steps to be superfluous while others were missing (it was still an invaluable guide though), here’s how I did it:

1. Get the SQL Server JDBC driver, be sure to get the Windows version
2. Unpack it somewhere and copy sqljdbc.jar to libraries\sqljdbc\library in your Processing folder
3. Copy qljdbc_auth.dll from the enu\auth\x86 folder of jdbc to C:\Windows\System32
4. In your sketch, do Sketch->Import Library->sqljdbc
5. You can now use the helper class from Tim’s post (which is inspired by the one in Ben Fry’s book)

Note that it is apparantly not necessary to muck around with the CLASSPATH. Happy querying!