Easy SQL question

Okay...I'm in the middle of learning SQL, but I have a real silly
beginner's question.

Where the heck can I write the code?  I can write HTML, JavaScript and
Perl with text editors; can I do the same with SQL?  Also, do I need a
database program like M$ Access or Oracle to play with it?

Just asking because I've searched for the info but can't find answers
in books or anywhere on the web.  Oh great guru's of SQL, please
assist a novice!

--skb
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