Neha,
It is definitely possible to connect to a local MSSQL database. Instructions on how to do it, including a few important MSSQL specific configuration steps, can be found at the Community Training Page in the Introduction and Setup course. Look at the NexJ Studio Installation Instructions for information on how to configure MSSQL. The exact version of MSSQL doesn’t really matter, but the instructions are written for Express 2014 I believe.
If you are getting a “Connection refused: connect” error, your MSSQL instance isn’t configured correctly, or you aren’t connecting with the correct credentials. See the following post for information on how to quickly test your connection in the “Test Connection” button on your Relational Database Connection environment editor in Studio. See this answer.