SQL SERVER is a database management system developed by Microsoft, which helps you manage the database server and solve some basic operations of the database. In this way, your program can simply issue commands and manipulate your data without worrying about how the data is managed in the database.
Essentially, a database performs the same function as an ordinary file, that is, it saves data. Whether to use a database depends on whether you have to deal with a large number of ordered data that need rapid response. If not, you can save your data through a text file or a registry, or even write it directly in code.
SQL Server and Visual Studio can be viewed separately, but in modern software, especially those that need remote servers, there are few that do not use databases.