Hi Sathya,
Create a View and that should work for you. Your Databases and DB server need to be linked to each other so check the Help file for your various DB Servers on how to do that.
Once it's done then the View will do all of the linking and data collection Server side and CR will simply see the View as one data source.
No need to create your own DB driver.
But if you really want to go to DataDirect.com, I believe they have a SDK package you can download and write your own driver to access any Data source you want to.
Another option is if you get the full version of BO Enterprise it has a Universe Designer which will allow you to create a data source using multiple Database servers and sources and other types and link them all together etc.
Don