Access databases are relatively inexpensive. In fact, you can open an Access database, modify the database structure using SQL, fetch records, modify and update data, and delete records using a Visual Studio application without buying the Access product itself.
Access databases have their disadvantages, however. They have some size restrictions (at most around 2GB per database), provide little in the way of user access control (only database-level passwords), and have little support for multiple concurrent users.
SQL Server (usually pronounced "sequel server"), on the other hand, provides support for huge databases (up to 1TB = 1,024GB per database), multiple simultaneous users, and very detailed user access controls. SQL Server's big drawback is its price. Depending on your installation, SQL Server licenses can cost thousands of dollars.