How to unit test Database Class

This has probably been asked many times but here it goes :

I have a class full of db connections

open connection
query db
read values
close connection

How should I unit test this stuff?

Do I need to create a fake database? I guess I could mock the MySql classes (for c#), but that's also a lot of work.

Some of the statements are "INSERT INTO", what should I do about this?