Actually, SQL isn't compiled into an executable form. We use SQL to query information from a database, so if we want to use it, you require a DBMS you can query. We have various examples of such a system like PostgreSQL, MySQL, or SQLite.
SQLite is pretty much simple to install.
Further, when we use that system, we can either open a console and perform a manual query or can use a database driver in a programming language of personal preference and perform a query through that, your program will work on the data by itself.
If you want to get more insights into SQL, check out this SQL Course from Intellipaat.