SQL, the Structured Query Language, is a (relatively straigt-forward) interface language to access and return record-sets from a database that supports SQL, like MSSQL (Windows), or PostgreSQL (Linux). The language is standardized, but different features are available on different operating systems, and you can't always easily port from one SQL-Database to another.
SQL can be used for any website that is data-driven. It's accessed from the server-side and you can e.g. create an HTML table from its data and serve it to the client. SQL data is in general much faster to access than XML, it's better for multi-user access and large amounts of data (to not waste server memory), but there's no hierarchical structure in SQL: you have to program it for yourself if you need it in SQL. Sometimes, it helps to store XML in SQL.