Populating a UDF with a value from an outside database

We've just started implementing SAP and I'm trying to do the following as a way to start learning some of the tools we will need later on.

I have an outside CRM database (running on SQL Express) that contains a list of Company Names.  I would like to create a UDF on the Business Partner form that allows someone to pick from and assign an Company Name from the outside database.  I hope to have somethign work like this:

1. Set up a BP UDF for OutsideCompanyName
2. On the BP form, the user sees some type of drop down, or preferably a selection grid that pulls the available Company Names from the outside database (in real time), and allows the user to select one
3. There are thousands of Company Names, so a simple drop-down probably isnt ideal (thought out the linked table route...)

I'm hoping someone can just tell me on a very high level how this might work.  I should add that we have purchased the Boyum usability add-in so we have that at our disposal.

How do I "map" an outside database?

How can I pull my list of Company Name's from the outside database?

How would I present the list to the user?

Just looking for the basic concepts I might use so I can look up the relevant techniques.

Thanks !

-djm