If you want to use the SQL example files from this website and execute them on your system you have to setup a mySQL database on your system. It's quite easy and the following steps describe how to setup and configure mySQL on Linux Mint11. On other Linux distributions the way to install mySQL will be the only different step.
mySQL installation step by step
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1a) mySQL server
Menu -> Softwaremanager -> MySQL Server(Mysql database server binaries and system database setup)
1b) Install mysql-workbench and/or phpmyadmin is a too to access the mySQL server with a GUI either with gnome or with a web frontend
Menu -> Softwaremanager -> gmysqlccoder or phpmyadmin
2) Open a command line and execute follwing steps and replace yourpassword and yourusername with your local values
2a) su -
2b) mysql -u root
2c) GRANT ALL PRIVILEGES ON *.* TO 'yourusername'@'localhost' IDENTIFIED BY 'yourpassword' WITH GRANT OPTION;
Now you have a started mySQL server and can use the SQL sample files to createsample data and to execute SQL queries.