Yes, the Win XP Pro workstation I have at work is running Apache/MySQL/PHP and Perl. If I had a preference in all cases I'd use Linux, however.

Run through the MySQL Tutorial as I mentioned above. Get used to using the 'mysql' monitor command line application. It's what I use 90% of the time.

phpMyAdmin is good in a pinch for a visual method to manage databases and tables.

SQLite is a completely different RDBMS, similar to MySQL but smaller, lighter and uses flat files (or memory). Has nothing to do with MySQL. I've used it in two or three cases, I like working with it.