You can do pretty much anything with the free SQL Express that you can with the paid version of SQL Server, other than the CPU limits and database size.
Visual Studio has a nice interface into SQL, but it does have limitations. To fully experience SQL you can
download the management console for free. This will allow you to run queries in a test mode to get them doing just what you want before creating a stored procedure.
One downside is that you can't use Visual Studio and the SQL management console to connect to the database at the same time.
Depending on who is hosting your web site you may be able to use the SQL Management console to administer your database, which is a good thing if it's allowed. So you will need it on your machine and will need to be familar with it.