I am enthusiastic to enter the world of Databases through SQL, but I don't know if there's prerequisites of any significance and I only know C# and Java.
Besides these, what tools do I need? I have Visual Studio 2008 and SQL Server Management Studio. What else do I need? Is it necessary to download a server OS?
I recommend you to try SQL Server Express, it is the easiest server to work with if you are developing with C#. If you would like to learn SQL using Java almost any data base would be good.
A data base server it's a software like any other, you will have to communicate with it through your own program, making a connection, throwing SQL commands and interpreting its results. If you only wanted to learn SQL you also could install a client for the chosen data base server and learn through it, after that you could try to connect your program to this data base. In this case SQLite would work pretty good for you.
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