I have decided to start with SQL Server Express, as it is a free download and hopefully will not overwhelm the beginner (me!).  I started by going to http://msdn.microsoft.com/sql (this URL format will get you to the Dev centers of most products, just substitute for “SQL” at the end), and sure enough, right there under “get SQL Server” is a link to download the Express Edition of SQL Server 2008.  I had to install the Web Platform Installer first, which was easy, then we got to the install of SQL Express itself.  I suppose I should not be surprised that it required me to enter a strong password first, as it is a rather well-known fact that most databases seem to have no password for the “sa” account.  The rest of the install was straightforward.

I then went in to the SQL Server Management Studio – this is where you actually do things with the database.  It asked me to point to a database, so I looked, and all I have are system databases, and this is not going to help me.  A bit of poking around among my friends here, and I find that now the sample database is AdventureWorks, and you have to download it.  A quick search finds this page, http://msdn.microsoft.com/en-us/library/aa992075.aspx, that shows where and how to get this Database from the Codeplex site.  The Codeplex site has a nice couple of links to show you the prerequisites for downloading and also how to install the samples, which made it easy.  Make sure you read these articles if you are doing this step, it will save you a bunch of time later on. 

After doing all this, presto, I can see the AdventureWorks database in the Management Studio like I expected, so it seems the install was successful.  Now I can drill into the tables, columns and data types and start figuring out how to use all of this now that I have it!