Libraries to do connection with MS SQL

[rocafer]

I like to create a Web form to insert, delete and update records to MS SQL Database.

Somebody told me that first I need to download libraries to get connection with SQL.

Could you help me?

[TheCPUWizard]

The .NET framework includes everything you need to connect, there is no need for anything "additional" (download or otherwise)....

using System.Data.SqlClient;
SqlConnection connection = new SqlConnection(...);
connection.Open();

I suggest that you get a GOOD book on ADO.Net, read it carefully (typing in all of the code, debugging every line, etc) to get a solid foundation.