You will need a database server and likely a separate client for that particular database.
You can get and use Express editions from Microsoft (SQL Server) and Oracle. Both are free, but limited in the amount of data they can store at a given time. Last time I checked, for Oracle XE it was 10 GByte (not counting the system tables) and 12 GByte for SQL Server Express. These also offer a client (each an extra 1 GByte to download), which help you out with the creation of SQL queries and even show you where your queries can be optimized, as these allow you to investigate any query at a low level. That is, of course, if such things interest you.
MySQL (or MariaDB, the fork of MySQL by the creator of MySQL) is good to learn, as you can find a lot of examples on the internet and the phpMyAdmin web-based client is handy for managing such a database.
PostgeSQL is also freely available (open source) and very powerful. You can get the pgAdmin web-based manager to manage and study SQL.
Remember though, as each of the databases I mention here have their own dialect of SQL, queries might not be applicable on another type of DB server.
SQL Server and Oracle are used a lot in enterprises, while MySQL/MariaDB is used a lot for web pages. So, depending on where you think you will end up using your SQL skills, choose accordingly.
However, if I'm honest, the Microsoft DB server and client combo is most likely the easiest way for you to learn SQL with. The editor for queries is based on the one included in the Visual Code IDE and comes with a lot of help. Setting it up is also rather easy, especially when the client and server are installed on the same machine.
