Hi brett, where do I exactly include my new custom code, to be able to pull data from "my_db"? Do I have to  include it in /engine/settings.php or do I have to create a separete file to access that database?

You'll need to create a new plugin to do this.  Probably a good time to read up on Elgg development basics and how to write plugins.

ok thanks a lot brett.

Before I write some lines for the inclusion of the elgg engine in view script, first where do I place the elgg folder that I've downloaded from this site? is it in the MODEL, CONTROLLER, VIEW or just in the Zend's public folder or any other folder that I have not mentioned?

Depends on how you plan to use it

I figured it out already, I put it in my zend's public folder. Thank you for the response Cash.