SQL Developer is to Oracle Databases what Google Chrome is to the Internet.
It is not a database that you can store stuff in but, rather, a "window" through which you can look at many databases, elsewhere.
You need to install and run an Oracle Database instance for SQL Developer to be of any use to you.
Honestly, if this is your very first DBMS, Oracle has a very steep learning curve.
You might be better off starting out with:
- MySQL - the other DBMS owned by Oracle Corporation), or
- MariaDB - the [still] free fork of MySQL (created when Oracle Corporation bought out Sun Microsystems and picked up MySQL as part of that "garage sale").
Of course, if you need to use Oracle Database - and all the complexity and rigour that goes with it - then you need to download and install it and then operate it. As others have said, Oracle XE is the best starting point for Windows users.
Note: If you do go down this road and get XE up and running, then I very strongly recommend that one of the first things you read about is the Backup and [more importantly] Recovery of Oracle Databases.