The AdventureWorks database is a fictitious company database that has existed since SQL Server 2005 as a means to show new functionality in each new version released.  Because the Books Online TSQL samples leverage this sample database, AdventureWorks has become a vital aspect of learning new features/constructs within SQL Server.  What started as a big improvement over the Northwind and Pubs sample databases has evolved into numerous specialized off-shoots highlighting different aspects of the product.  There are now multiple versions of AdventureWorks databases for each version of the product, including many updates corresponding to service pack releases.  The end result is that it is extremely confusing to find the "correct" version of AdventureWorks that you are searching for.  I'll lovingly refer to this as AdventureWorks sprawl and try to lower the barrier to entry for getting started working with the AdventureWorks sample database.

Pre-SQL Server 2005:

AdventureWorks did not exist before SQL Server 2005.  In this time, the sample databases Northwind and Pubs were included on the media along with the product and could be installed during the setup process.  You can download the Northwind and Pubs sample databases for SQL Server 2000 here.

SQL Server 2005:

In the SQL Server 2005 timeframe, the AdventureWorks sample DB was introduced and also included on the media along with the product.  You can install the samples during setup or download them from the following location:

http://msftdbprodsamples.codeplex.com/releases/view/4004

The installers for SQL Server 2005 supply you with the .mdf/.ldf files, but you need to manually attach them to your instance for use.  You will see a couple different AdventureWorks databases, each with a slightly different focus.   For the majority of people downloading sample databases to learn T-SQL, refer to Books Online examples, etc., the AdventureWorksDB is the first one to start with.

SQL Server 2008:

Beginning with SQL Server 2008, the sample databases are no longer included with the media and must be downloaded and attached as a separate step.  The SQL Server 2008 sample databases are packaged slightly different than any other version, where they include a single .exe file that will allow you to install all different versions of the SQL Server 2008 sample databases.  They also include a .zip file containing a single .mdf and .ldf for attaching the basic AdventureWorksLT database.  I'd suggest unzipping this file and attaching the .mdf/.ldf to get started and using the .exe if you want to dig further into more complex examples.

http://msftdbprodsamples.codeplex.com/releases/view/37109

Step-by-step instructions for using the .exe to install all sample DBs is here.

SQL Server 2008 R2:

Beginning with the 2008 R2 sample databases, a new version was introduced that supported filestream.  If you are familiar with SQL Server and trying to learn filestream specifically, you'll want to download the version containing filestream sample schema/code.  For the huge bulk of users trying to leverage the sample database to learn the basics and extend into new areas, you will want to download the version without filestream support from the link below:

http://msftdbprodsamples.codeplex.com/releases/view/59211

In this link, you will see numerous versions of the database.  To get started quickly, I'd suggest downloading AdventureWorks2008R2-Full Database Backup.zip, unzipping the .bak file to your backup location, and restoring the database through SSMS.  The other versions all have different intentions for learning, but again I'd suggest starting with the basic version first before advancing to the other versions.

SQL Server 2012:

Through the evolution of the AdventureWorks DBs over the years, the site hosting the sample databases now includes 13 different links/flavors/versions of the sample database for SQL Server 2012 and can be found here:

http://msftdbprodsamples.codeplex.com/releases/view/55330

As with my suggestion for 2008 R2, I would suggest that you download AdventureWorks2012-Full Database Backup.zip, unzip the .bak file to your backup location, and restore the database through SSMS to get started quickly.

In summary, the AdventureWorks sample databases are outstanding learning tools for understanding examples from Books Online, trying out new constructs, and exploring entire new areas of SQL Server, but wading through the numerous versions and editions can be quite confusing.  If you have questions/comments, let me know.

Hope this helps,
Sam Lester (MSFT)