I agree with Kumar from madras, but I would just like to explain the flow a bit more...
Ok so usually you would not insert the file into the database itself, but rather have a folder in your website (in Kumar's example Uploads). Then you would have a field in your database table that references to the file (e.g. nvarchar(500))...
Example (C#) if you have a Database with a table UserFiles it would have a field FilePath...
string virtualPath = "~/Uploads/";
string physicalPath = Server.MapPath(virtualPath);
string fileName = GUID.NewGuid().ToString();
string extension = System.IO.Path.GetExtension(fileUpload.FileName);
fileUpload.SaveAs(System.IO.Path.Combine(physicalPath,fileName + extension));
UserFiles.InsertFile(virtualPath+fileName+extension);
I just typed this of the top of my head, but Intellisense will help you out if I made any mistakes.