How to access External SQL via ABAP/4?

Hi,
I have maintailed connection via tcode DBCO, and tried to connect to external SQL server via following codes, but failed all the time, can anybody tell me how to do?
EXEC SQL.
CONNECT TO 'DAN1'
ENDEXEC.
EXEC SQL.
SET CONNECTION 'DAN1'
ENDEXEC.
EXEC SQL.
Thanks and best regards.

check...
https://www.sdn.sap.com/irj/sdn/go/portal/prtroot/docs/library/uuid/05058e8d-0c01-0010-c986-fdc8eaebf37c

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