Well, you need to start out by breaking your job down into smaller and smaller parts. Once you get them down small enough, each one will be a simple little problem to solve. Off the bat, you might want to start with a list like this:

1. Connect to the DB
2. Find each of the 3000 files.
   For each file:
   1. Open the file
   2. Parse the file
   3. Insert a record
   4. Update some counter/stats
   5. Close the file

It seems like your question is really 'How do I program' more than anything. And, that's such a big topic, that in a way it's harder to answer than 'I asked FunctionX for a result and I got Y instead of Z' type question.

So, just take a deep breath, break it down into teeny-tiny parts, and post specific questions.

Good luck.