Let me explain you these two concepts of web hosting:

The MySQL and MS SQL are both database server. Database server is used to save and retrieve the dynamic data of the website.

Dynamic data means the data which are changing such as user registration details, login name and password.

Other dynamic data of the website are the articles which are stored in the database and the data from database is displayed on the browser.

Storing data into database makes the website very maintainable as compared to the static HTML pages. These days very less no of website are static HTML.

MySQL Database server:

The MySQL Database is free open source database which is maintained and distributed by Oracle. This database sever is mostly used in Linux environment. But MySQL database sever is also available for windows.

MS SQL

MS SQL server is commercial database server which is from Microsoft. It is only available for the windows operating System.

Check the tutorial What is MySQL, MS SQL in Web Hosting. Thanks