Yes, you can use more than one database at a time. However, there can be problems if you are using an older version of CR (they keep improving database connectivity with each release) and it helps to have indexes for the fields you want to join. There could also be difficulty depending upon the databases you are joining and their drivers (using ODBC is your best bet).

It's usually easiest to have the main database connect to the other database and mimic the table as if it were its own (SQL Server does this). Then CR thinks that you are only referencing a single database.