The mysql.cfg file in your addons/amx/config folder stores the information AMX needs to connect to a MySQL database. This is what the default mysql.cfg file looks like:
Then you will have to create your table with the same fields as in usual users.ini: auth, password, access and flags, all as VARCHAR(32) fields. Of course you can tweak this all if you feel like you can modify the admin.sma plugin source.
Anyhow we recommend using phpMyAdmin, which is a great MySQL database administration tool written in PHP.