You need to install a so-called Instance of MSSQL server on your computer. That is, installing all the needed files and services and database files. By default, there should be no MSSQL Server installed on your machine, assuming that you use a desktop Windows (7,8,10...).
You can start off with Microsoft SQL Server Express, which is a 10GB-limited, free version of MSSQL. It also lacks some other features (Server Agents, AFAIR), but it's good for some experiments.
Download it from the Microsoft Website and go through the installer process by choosing New SQL Server stand-alone installation .. after running the installer.
Click through the steps. For your scenario (it sounds like you mainly want to test some stuff), the default options should suffice.
Just give attention to the step Instance Configuration. There you will set the name of your MSSQL Server Instance. Call it something unique/descriptive like MY_TEST_INSTANCE or the like. Also, choose wisely the Instance root directory. In it, the database files will be placed, so it should be on a drive that has enough space.
Click further through the wizard, and when it's finished, your MSSQL instance will be up and running. It will also run at every boot if you have chosen the default settings for the services.
As soon as it's running in the background, you can connect to it with Management Studio by connecting to .\MY_TEST_INSTANCE, given that that's the name you chose for the instance.