You can use SQL Server 2000 with Windows XP Pro. As you are a beginner, you wouldn't need all of the functionality offered by SQL Server but if you want all the available features, then you should install SQL Server 2000 Developers Edition.
SQL Server instance refers to SQL Server in general. If SQL Server is not running on your machine, then you could connect to a server where SQL Server is running.
Under the SQL Servers node, your machine name should be listed if you have SQL Server installed. Expanding that node will reveal each database in SQL Server. You can then expand each database to view the tables, views, stored procedures, etc.
I hope this helps.