As per my knowledge,
PMDB is where we all work and store our data using P6
PMSDK is a Software Development Kit that is used by external softwares to access PMDB or any P6 database that we are using for Project Management.
That means if you make a software that can upload or make changes to P6 as an add in, in that case you must use PMSDK to access PMDB in order to do what you want.
Hope it make sense.
Jawad,
Senior Planner - Civil Engineer
Sydney, AUS

does it make any difference while logging by PMDB or PMSDK. because I am able to see and work with the files on both modes.
Is there any drawbacks using one of those ?

the two aliases (PMDB and PMSDK) may actually point to the same P6 database (or not). click the browse button next to the alias name to see a list of all database connections (aliases) and their connection details. 

an alias (PMDB or any other) is the name you give to a connection you establish for the client application to (one of) the P6 database(s), using DBConfig. (right after setting up the database, or the executable named DBConfig.exe in P6 folder, or by clicking the Configure button in the above mentioned window)

the database connection used by applications accesing the P6 database through SDK has the default name PMSDK (it is set up when installing the P6 client application with the SDK custom option, and unless you have a reason to, it is better not to rename it)

a database connection (configured using the DB Config wizard or otherwise) provies details such as:

   Âhost_machine_name _or_IP\SQL_instance_name_if_not_default
   Âdatabase_name
(see DBXConnections.ini)
     for Oracle databases, a TNSNAMES.ORA file is used with the Oracle Client Application to provide similar connection strings details.

hope this helps.

they are equivalent as far as your P6 desktop client application is concerned if the database type
 (e.g. SQLSERVER)
and the connection details
 (e.g. laptop\primavera:pmdb$primavera or localhost:pmdb, etc)
 are the same.

thank you all... I appreciate your aptitude towards imparting knowledge.