Java Beginners
Head to Sun Oracle's own tutorials.
JDBC
Again, the vendor's own tutorials are the best (only learn it after basic Java!):
You'd like to learn SQL first beforehand (learn it before JDBC):
Connection between Java & JDBC (I do not know whether its right or not)
JDBC is a Java API (a set of interfaces and classes). There is no such thing as "connect between Java and JDBC". You rather want to connect between Java and the database. You use JDBC for this. You first need to know the JDBC URL of the database in question and the login username and password. Then you can connect it like follows:
Connection connection = DriverManager.getConnection(url, username, password);
How the URL should look like depends on the DB and JDBC driver in question. You'd like to consult the documentation of the JDBC driver in question.
Relation between Java & SQL.
Nothing. Both are separate and independent languages each with an own purpose. SQL is a database communication language. Java is an object oriented programming language. In Java, you can use the JDBC API to execute SQL programmatically, but that's also really all.
I also want to know how to creae a simple DB in Windows, so that database will be connected to my program
Just choose a database server and download and install it. There are several popular choices:
Each of them also ships with DB vendor specific JDBC documentation. It's also worth to get yourself through it (only if you already understand basic JDBC!).
See also: