Installing MySQL is a breeze, whether its being installed on a M.S. Windows driven computer or a Linux driven computer.
In just a couple of clicks you can have an Enterprise strength RDBMS installed and configured on your M.S. Windows XP / Vista driven computer.
Subsequently, you will have a full fledged, ANSI SQL compliant to use or learn on.
MySQL handles, Cursors, DB Triggers, Stored procedures and tons of other interesting stuff.
Why not use this discussion board to ask your questions and get a few answers.
I'd be happy to share.