I am new to the Visual Studio thingy. I have MS SQL Server 2005 and 2008 preinstalled in my Windows Vista computer. Are they real servers?
Or just some add-on for their server and I need to buy a server version of Windows for it?
If not, how to run them? How to add a database, etc.? And basically how to connect Visual Studio 2008 to MS SQL Server 2008/2005 and MySQL?
I assume you mean that you have SQL Server Express installed when you say "ms sql server 2005 and 2008 preinstalled in my vista ". If not, you can download it for free; it is a lightweight version of SQL Server that has a few limitations (2GB max database size, max 10 connections, etc) but otherwise works more or less like the real thing and is great for development and/or learning.
Visual Studio should have a "servers" tab (by default on the right hand side) and there is a "Data Connections" node on it. Right-click on it to add your instance(s) of SQL Server. This will let you browse the tables/views and create new ones and will also let you create LINQ-to-SQL classes. If you want to access the database in code in other ways, you will need to read up on the System.Data.SqlClient namespace.