Microsoft SQL Server supports so called CLR Stored Procedures which are written in a .NET language and are run directly inside MS SQL Server. If an hijacked account has appropriate permissions, it can be used to run a native payload (inject native code into a new thread) or to tunnel a TCP connection or a shell via the SQL port (needed if the database server is properly firewalled). They can also be combined to tunnel a reverse_tcp payload. Additional permissions, like xp_cmdshell, are not required. This file is a proof of concept that demonstrates this ability.
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