Vendors of client/server systems such as Oracle and Sybase generally provide a CD of client software to be installed on any PC that needs to connect to one of their servers. This software often includes a tool to keep track of the various database servers on the network, a custom network protocol on top of TCP/IP, various administrative applications, command-line SQL clients, and various programming interfaces to the database.
At the lowest level, C libraries and/or preprocessors are included to allow C programs to execute queries against a database. Python modules have been written around these libraries for (at least) Oracle, Sybase, Informix, Solid, MySQL, and Interbase.
Proprietary APIs often give the fastest connections and allow access to proprietary features of a particular database. However, SQL is supposed to be a standard, and users want the freedom to switch databases without unreasonable pain, so Microsoft has been working on standard interfaces to databases for many years.