"SQL (Structured Query Language) is a computer language used to create, retrieve, update and delete data from relational database management systems." - from Wikipedia.
To learn SQL, you just need a relational database and a text editor, or some tool that allows you to write SQL queries and run them against the database.
Some databases that you can try:
Firebird:
http://www.firebirdsql.org/index.php
Microsoft SQL Server 2005 Express:
http://www.microsoft.com/sql/editions/express/howtobuy.mspx
There is also a toolkit for MSSQL Express:
http://www.microsoft.com/downloads/details.aspx?familyid=3c856b93-369f-4c6f-9357-c35384179543&displaylang=en
And a Service Pack:
http://www.microsoft.com/downloads/details.aspx?familyid=31711D5D-725C-4AFA-9D65-E4465CDFF1E7&displaylang=en
Some tutorial sites and other SQL references are also listed on Wikipedia, eg.
http://beginner-sql-tutorial.com/
http://databases.about.com/od/sql/a/sqlbasics.htm
There are many, many references on the web that will teach you more about SQL. A good book may also be a good starting place for you.
Some book recommendations:
http://www.amazon.com/Sams-Teach-Yourself-Minutes-Third/dp/0672325675/ref=pd_bbs_sr_1/105-6905623-1742058?ie=UTF8&s=books&qid=1180969606&sr=8-1
http://www.amazon.com/SQL-Nutshell-2nd-Kevin-Kline/dp/0596004818/ref=pd_bbs_9/105-6905623-1742058?ie=UTF8&s=books&qid=1180969606&sr=8-9