Looking to run a database (maybe to learn SQL or to host your recipe collection)?  SQL Server 2005 certainly fits the bill (and there is a free edition here), but if you want to try some of the other options available on the interweb, the two following guides from the Port 25 TechNet team will get you up and running:

PostgreSQL on Windows: A Primer

This paper will cover the installation and initial configuration of PostgreSQL 8.2 on Windows up to a point where a database is created and plpgsql is installed in it.  We assume an ability to walk through the install wizard in general, though screens that do require additional information will be covered (with screenshots).  Important options in the postgresql.conf and pg_hba.conf will be covered, as will database creation in PgAdmin III.

MySQL on Windows: Configuration & Install

This week, the lab looks at configuring and installing MySQL -  an open source relational database management system which is typically used for web applications.

This paper will provide an overview of configuring & installing this software on Windows. MySQL does not have as many features as PostgreSQL, however, and one would expect it to perform substantially better than PostgreSQL on Windows because of its thread-based architecture (PostgreSQL uses a process-based architecture instead).
Note: This paper represents testing and documentation in a lab environment. User Account Control (UAC) is an essential security component to Windows and Microsoft does not recommend turning off UAC in production environments.