Can I install SQL on cabal server?

Hello I'm a beginer of building cabal PSever.
I'm a taiwanese so my english may be poor.

According some guide post,
I have to install MSSQL on windows.
Does I must install SQL on another computer(or vm)?
Or on cabal sever(SQL for linux)?

thanks for your ans.
It may be a noob question, sorry :(
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another question,
If I want to use tw client,
Do something I have to do?

You Having Your own server?你是华人哦？。。。我要玩你的server o~