[QuantumToast]

Hello all, you might recognize me from my oh-so-popular thread over here, Infractions. I know absolutely nothing about SQL, outside of the tiny bits of experience I have directly modifying some databases in the past.
It is to my understanding that Sourcemod has basic support for MySQL and SQLite. While there is obviously documentation, examples, and help for the aforementioned topic, my questions lie more in the range of SQL itself. I'll try and be concise and just list my questions here.

1. How easy/difficult is it to set up an SQL database for a dedicated server? (This is on a game server provider, I am not hosting my server locally.)
2. Does setting up SQL on my server require an SQL database hosting program?
3. If not, am I supposed to put the database files somewhere specific?
4. What are some good resources to learn syntax and formatting for SQL queries and "commands", if you will?

I know some of these questions are easily Google-able, but since they aren't just basic SQL-related commands, and more related to its integration into Sourcemod, I felt the need to ask it here. I've never used SQL before, so please, go easy on me if you can. I'm willing to learn. Have a good day