Are you using a specific sql server? The default DB in the mendix cloud is postgresql. You can configure it in your project settings. That's pretty straight forward.
By default Mendix is using a simpel database, that can be used without installing any further software. This is also running in the sandbox.
You can set up differen databases like postgreSQL that Menidx is also using on their Cloud Server, but you can use also for example MySQL or Microsoft SQL server as Mendix Database without adding any additional modules in Mendix. You are responsible to add those ressources on your machine. If you don't want to use postgrSQL as you favorite DB, then you should in a licence modell, think about an on premise installation.