A business setup (on a microsoft stack) will likely be SQL Server and an ORM tool. From a learning experience, you can just use SQL Express.
I would create a database using the Database Management tool to get to know the DBMS itself.
The .Net framework comes with a query language called, LINQ. This is good to learn. You can use Entity framework to create a model from the database you created (Visual studio will make it easy for you). As the name says, EF creates entities from you database model and you can use LINQ to perform queries on your entities, which the framework will translate to sql.
You are using an abstraction layer in this way, but it's just the way applications are build, so I see no harm in that