Unfortunately, that's somewhat difficult. It's generally really hard (if not impossible) to use an existing database scheme with a new system. See this this this and this question for more info.
The problem is that each application expects it's data in their own little way, and there's no way around that. Fortunately, what you can do is setup an import. Depending on the application that's currently running on your data, you have the choice between webservices, custom java actions with sql imports, or csv imports.
The reason why you won't find a clearcut (easy) answer as to how to import your data is because each existing DB (schema) has it's own little quirks. There is no 'default' answer, unfortunately.
In your case I would probably write a java action which queries the database and then mass imports the data via Core.create API calls or possibly create batches.
Let me know if you need any more information (preferably by editing your answer).
Hope that helps :)
The database replication module allows you to define connection settings to the external database and access the data and table structures to import it into Mendix, so already basic connectivity exists. I agree that it is not always desirable to replicate the external data in Mendix, especially when the external table has millions of rows and is maintained by another application.
Enhancement suggestion: What would be really nice is if you could create an read-only entity in the Mendix domain model based on this connection to the external database table - assuming some sort of UID or primary key exists that Mendix could use.
You could then create (read-only) forms to view the external data, and create associations to other entities in Mendix, but leave the external application to manage the data and avoid having to do regular imports of large amounts of data.
If you needed to update the data in the external tables, I would suggest that you do this through direct SQL or web services.
Perhaps I'll submit that as an enhancement request.
Also, take a look at the database replication module in the appstore. It is able to handle many kinds of database imports, although not all.
The question and the answers are quite old. Can someone say about the current status? Has anything changed?