There are several reasons why Database on the Insert menu might be unavailable.
You're using a Web site based on Microsoft Windows SharePoint Services
Web sites located on servers running on Windows SharePoint Services use a
different set of features to display data. To display data on a Web site
based on Windows SharePoint Services, click the Data menu, and then click
Insert Data View.
You're using a disk-based Web site
When you open the site in Microsoft FrontPage, check to see that the
location specified at the top of the Folder List begins with
http://. An
example of a valid location is
http://www.example.com/subsite1.
If the location appears to be a path to a local or network location— such as
C:\Documents and Settings\User\My Documents\My Web Sites\Subsite1— you'll
need to create a Web site at a location that uses the HTTP protocol. A Web
site on a local or network drive is not a valid location to display
database-enabled pages.
Your authoring settings do not allow Active Server Pages (ASP) (note: this
was my problem)
On the Tools menu, click Page Options.
Click the Authoring tab.
In the FrontPage and SharePoint Technologies area, select the Active Server
Pages check box.