Yes, it's possible - the FileUpload control doesn't care what type of data it uploads, it just passes it though as a binary stream. You can save this to the IMAGE or VARBINARY field of an SQL database (since these are the only ones capable of holding more than 8K bytes - in the latter case define it as VARBINARY(MAX))
Then just save them to the database:
byte[] data = myFileUpload.FileBytes;
using (SqlConnection con = new SqlConnection(strConnect))
{
con.Open();
SqlCommand com = new SqlCommand("INSERT INTO myTable (data) Values (@DT)", con);
com.Parameters.AddWithValue("@DT", data);
com.ExecuteNonQuery();
}