the Users.sql is an SQL Script that when run on the database will create the users table. See the "How to import a MySQL (.SQL) file to your database" for details on using the .SQL file to create the table in the database.
When Createing the connection, "Connection Name" is just a friendly name that you will use to refer to the connection, we use BlueSky in the tutorial because the database being used is the BlueSky database.
For more details on creating the Database connection, see the "Creating your database connection in Dreamweaver " tutorial.
These two tutorials are located on the learning resources page:
I'm afraid that if you are already confused at this point, my answer to this question is going to confuse you even more.
the long and short of it is that you could Use the built in Dreamweaver Authenticate user behaviors, or you could use security assist. Either way, you need to configure a database and the pages to implement the access restrictions.
I find the security assist wizard easier to use to implement page access.