By following the user documentation you will find this page:
http://codeigniter.com/user_guide/database/connecting.html
The documentation states that you can connect to multiple databases by specifying a group.
If you look in your database.php file, you will see that the connection arrays is formatted like this:
$db['default']['hostname'] = "localhost";
The 'group' here is default, which is loaded the way you always have been doing:
$this->load->database();
When you need to connect to another database, specify a new group:
$db['my_secret_db']['hostname'] = "localhost";
$db['my_secret_db']['username'] = "other_mysql_user";
...
And you load it like so:
$MyOriginalDb = $this->load->database('default', true);
$MyOtherDb = $this->load->database('my_secret_db', true);
By loading these connections into their own objects, you will now use:
$MyOtherDb->query();
instead of
$this->db->query();
I hope this helps.