What next after downloading SQLEXPR_x64_ENU (MS SQL Server 2008 R2)

Hi,

After installing SQLEXPR_x64_ENU (122mb - MS SQL Server 2008 R2), I get to see 

1. Import and Export Data (64-bit)
2. Complete SQL Server 2008 R2 Installation
3. SQL Server Configuration Manager
4. SQL Server Error and Usage Reporting and
5. SQL Server Installation Center (64-bit).

Do we have to download the SQL server management studio separately?

What else is required for me to start with querying the database like (select * from table;)

Do we get any sample DB along with the installation as in oracle or do we need to create our own DB?

Best Regards,

Shyam