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SQL is strictly a database query language, so I assume you want to practice constructing the queries. For that you can either install one of the most popular SQL builts like MySQL or MS-SQL or go for the SQLite, which might be the best for inhouse, small projects and/or practicing.
For the last one, visit: www.sqlite.org
There is a cool tool for SQLite called DB Browser (Windows/MacOS/Linux) at: http://sqlitebrowser.org
You can manage databases up to 50k rows in this but it's extremely light and portable.