I've never used winscp, but a web search turns up a number of tutorials
As regards your second question, please provide more information: What Linux distro
are you planning to use, what database engine (MariaDB is slowly replacing MySQL as the database engine of choice, but there are also postresql, sqlite, and a number of others
) are you looking to use, and what is the database to be used for (e. g., blog, contact information, business records, etc.)?
The more information you provide, the easier it will be for others to help you.