A data access layer follows the idea of "separation of concerns" whereby all of the logic required for your business logic to interact with your data layer (database) is isolated to a single set of classes (layer). This allows you to more easily change the backend physical data storage technology (move from XML files to a database, or from SQL Server to Oracle or MySQL, for example) without having a large impact (and if done right having zero impact) to your business logic.
There are a lot of tools that will help you build your data layer. If you search for the phrase "object relational mapper" or "ORM" you should find some more detailed information.
