1. What kind of SQL Database?
2. If creating a GUI for a database backended on a web server, why not a web application?
Yes, VB makes it stupidly simple to create a GUI, but it comes at a very high cost: you have to use VB 
The way you create a link to an online database will depend on the type of database.
Unless you need to create a win32 executable, I wouldn't bother. The only benefit really is not needing to install full python on the PC executing it. basically something nice for end users. That said, it's not hard and http://www.py2exe.org/index.cgi/Tutorial aren't bad. The basic steps are you create a setup.py file that looks like:
from distutils.core import setupimport py2exe setup(windows=['insertscriptnamehere.py'])
and then run python setup.py py2exe
IronPython is a (now dead?) implementation of python for .NET/Common Language Runtime. The main purpose of it is that it'd allow you to create silverlight/ASP.NET stuff in Python as well as allow you to use python as a scripting language to extend your program