When it comes to setting up a test environment, Microsoft has a free version of SQL Server that you can play with, SQL Server Express. SQL Server express is a stripped down version of SQL Server that is meant for smaller, embedded applications. There are some limitations to SQL express, including a maximum database size of 10 GB and being restricted to running on only a single, physical CPU.
The URL to download SQL 2014 Express is http://www.microsoft.com/en-us/download/details.aspx?id=42299. When you click the link, you will be prompted which file you want to download. You will want to choose either one of the following, depending on your machine:
Note: Any screens that I do not mention are typically fine to ignore, you can find more information on Technet if you need it.
Once you run the Setup file, you will be prompted by the SQL Server Installation Center. At this screen, click on the Installation link on the left, then click on the New SQL Server stand-alone installation or add features to an existing installation link.
The next screen you will see is the License Terms screen, you can just accept the terms and click Next.
The next screen is the Microsoft Update screen, I recommend to allow setup to check for updates. Either way, click Next.
At the Feature Selection screen, select the features you want to install. At a minimum, you will want Database Engine Services and Management Tools Basic and Complete. I recommend just installing everything. Click Next.
At the Instance Configuration screen, you can choose to use an alternate instance name. Click Next.
At the Server Configuration screen, you can choose whether or not to have your services start automatically or be manual. Click Next.
At the Database Engine Configuration screen, at the Server Configuration tab you can configure the Authentication Mode. You will want to use Mixed Mode if you want to have SQL Server Authentication logins. Be sure to click the Add Current User so that your account is added as an Administrator.
At the Data Directories tab, you can change the directories for the Databases, Log, TempDB and Backup directories.
At the Reporting Services Configuration screen, click Install Only. If you need to configure Reporting Services, you can do so after setup.
At this point, you are only a few Next clicks away from the end. Once your Installation is complete, you are ready to start using SQL Server Express.