My recommendation is to (if not on linux already), download and set up a VM with a linux install on it. For a toy example, it should be as easy as installing a recent ubuntu, going to the command line, typing "sudo apt-get install postgres".
To log in to the database you can then use "sudo -u postgres psql" (Postgres creates a system user called postgres who by default is a superuser with passwordless local authentication.)
From here you can get help by typing \? to list available commands and \h SQL STATEMENT BEGINNING to get some basic help on an sql statement. eg, "\h create table" will show you the valid syntax for a create table statement.
This W3Schools tutorial seems adequate as a very basic level tutorial to give you an idea of what's possible and where you'd want to go from there.
It should be fairly easy to get python, php, ruby, etc to talk to the database, when you want to try to integrate it with an external program.
Alternatively, since you'll probably be doing VBA in a Windows, environment you could install SQL Server Express edition to play around with, but I'm not particularly familiar with it, or its environment. Someone else can probably help you out with that better.
I've tried Linux before, and seen nothing about it that would make it worth the effort of learning a whole new command interface. Is there any particular advantage to it here, or is this a matter of personal preference?
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.