I want to create data conection library to transfer a data from MSSQL serwer to Sharepoint list and with read write option. I must edit a data from a MSSQL table to Sharepoint list.
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Research "Creating an external list using BCS" to see if this will work for you. It should as external lists can provide read/write access to external content types, including a SQL Server database table. There are numerous examples on the web and plenty of Microsoft documentation on this topic. Many of the web examples show exactly that scenario, creating an external content type that connects to MS SQL Server.
There is even a whole book dedicated to BCS.
Regarding your comment above about permissions, see:
Because your question is not that specific, these are high-level answers to point you in the right direction so you can get started. Once you get started SharePoint StackExchange is a good resource if you get stuck or have more specific questions.