First step, in setting up BDC is to create what is called BDC Application Definition file. This is an XML file which contains various information like what is the source of the data (Exteranl LOB system in this case), what are the entities (Table in SQL Server for example) what fields to pull from it etc need to be defined in this file. Initially there was no GUI or any tool available to do this but, now we have one tool called BDC Meta Man. This tool allows us to create BDC Application Definition file graphically. So go ahead and download this tool and start using it. This tool is very easy to use and self explanatory.
In our case, we are just trying to pull the data from Customers table in SQL Server. Should you require to pull data from multiple external LOB data applications, multiple corresponding application definition files need to be imported into SSP. Once SSP is configured this way, all the web applications associated with this SSP (in our case SharePoint - 9999), will be able to consume the services offered by SSP.