Why learn SQL? Because it's the biggest game in town. It's not the best language for the task (Edgar Codd, the formulator of RDB theory, is attributed as criticizing SQL as being an incorrect implementation of the theory), but all the major R
DBMSs (Relational Database Managment Systems) use it. One problem is each DBMS has its own features, and thus includes its own extensions to SQL.
As for learning SQL, first study RDB theory and practice. You could try "
Introduction to Databases and Relational Data Model" by Maurer and Scherbakov, which looks to be decent (and free). You could also pick one or more of the suggested books on one of the relevant
Stackoverflow threads (
2). Reading over Codd's "
A Relational Model of Data for Large Shared Data Banks" will teach you the the basic ideas behind RDBs, though most of the subject is not covered in the short, 11 page paper.
In addition to learning RDB design and SQL, you also might want to learn a little about DB management. It sounds like the issues you're having with SQL Server all lie within this last realm of administration. The first StackOverflow thread has some suggestions for SQL Server administration.