You don’t download SQL, but a software that understands SQL.
SQL means “Structured Query Language”, which means that SQL is a language.
“Where to download SQL?” is similar to “Where to download the English Language?”.
You issue SQL commands to a software that understands the SQL language, also called “SQL interpreter”. That software sends your commands written in SQL, also called “SQL commands” to another software called “Database Manager”.
In the picture below:
The SQL interpreter is HeidiSQL.
The Database Manager is MariaDB.
There are other combinations as well, but both MariaDB and HeidiSQL are open source.
In the recent versions, MariaDB for Windows comes bundled with HeidiSQL, meaning that you don’t have to install them separately.
MariaDB can be downloaded from here:
In the picture below, the SQL command is in the green box and the result of it it’s in the pink box.