I'm trying to add a search capability to my search screen and I'm a little lost cause the SDK documentation barely mentions anything about it.
There's example code in the roSearchScreen documentation. Have you looked at that?
What Brightscript component should I use to to connect to my SQL database?
roUrlTransfer.
Will the roSearchScreen function handle the query itself or do I have to handle it?
You handle the search yourself. The search screen just handles the UI and then tells your code what the user wants to search for.
And if I have to handle the query myself does the query have to be in any special format such as xml?
No, that's between your Brightscript code and your server code. It can be any format you want.
--Mark