Structured Query Language is just that, a language, implemented in most major databases
MySQL is an open-source(ish) SQL database, like most DB's it has its own interpretation of the SQL language with some additions to the language and some unsuported features.
MySQL is x-platform so it runs on win32 & *NIX whilst MSSQL-server is win32 only. MSSQL server is though a more fully featured true RDBMS unlike MySQL which lacks some advanced featues.
What language do you develop in and on what platform ?? if win32 only then MSSQL server or MySQL are options (one cheaper than the other
)... if you intend to step away from the dark side and use *NIX for your web-applications then MSSQL server is not going to be an option.
for web-type work MySQL is popular and for good reason, again though it is not a true RDBMS so it depends exactly what you want to do with it.