DOC: add examples of database drivers (GH11686)
Closes #11686

:+1: Only minor thing is that you have "you also need a database specific driver." could be "you _may_ also need a database specific driver." depending on the database your using.
 True, but I think that is only the case for sqlite? (that it is not necessary) Although you actually need one, only it is included in the standard library. But will include that.
 A very, very minor thing :smile: 
 Updated!
 lgtm
