Sql native client should do, install it and look for examples. OLEDB and ODBC providers are good as well, look here http://msdn.microsoft.com/en-us/library/ms130809.aspx
You can use the subitem-image to display the checkbox. Just copy the state-images to the official image-list, and react to mouse-click on the subitem-image to change the checkbox. I have implemented this on CGridListCtrlEx - Grid Control Based on CListCtrl[^]