|Most programming languages provide routines to connect to databases, although you need to study SQL to actually do the actions.|
Do you already use a programming language, and do you have a particular database in mind? If not you should look at PHP and MySQL which work together very well, particularly for web programming. Googling those two terms should provide a lot of information.
But, if it's general Windows programming, have a look at Visual C# Express and Microsoft SQL Server Express. Again, these combine together niceley and there is plenty of online information.