SQL software includes database software, tools to help write SQL, and tools to test SQL. This list has the important stuff first.
You will start with database software to hold a database for testing SQL. MySQL is the world's most popular database, is free, and can be installed anywhere for testing.
MariaDB is currently a plug compatible replacement for MySQL, is developed by some of the original MySQL developers, and has some enhancements over MySQL. Download MariaDB from mariadb.org.
MariaDB adds two new storage engines, PBXT and XtraDB.