TOOLS: SQL Clients AKA DB Tools

A SQL client is, as the name indicates, a client for a SQL Relational Database Management System (RDBMS). It can help you manage (create, read, modify/update, delete) DBs.
Some kind of administration tool is available with each RDBMS (you could have it installed on your computer or only on the server). But sometimes you'll have productivity gains if you use a multi-DB client because using the same SW user interface you will be managing several different DB engines / instances.

Examples of DB Tools include: Aqua Data Studio (Windows, proprietary - this one scripts data into DML SQL statements), Squirrel SQL Client (open source, java-based).

A comparison of DB tools can be found - where else? - in Wikipedia so choose one according to your requirements (and that might be shaped by your budget): 
https://en.wikipedia.org/wiki/Comparison_of_database_tools


For SQL Server, as per 2016-11: 
SQL Server Management Studio (SSMS)
https://msdn.microsoft.com/en-us/library/mt238290.aspx 
SQL Server Management Studio Express

https://technet.microsoft.com/en-us/library/ms365247(v=sql.105).aspx
And a related download - SQL Server 2016 Express (the free DB engine):
https://www.microsoft.com/en-us/download/details.aspx?id=52679


(Updates: @2016-11-08: MS SQL Server example links)

EA initial SQL scripts

The short story

The Enterprise Architect (EA) initial (SQL) scripts can be found here:
http://www.sparxsystems.com.au/resources/corporate/index.html#sql_scripts

And here are the instructions to apply it:
http://www.sparxsystems.com.au/enterprise_architect_user_guide/13.0/model_repository/upsizingtosqlserver.html

The long story

What are these good for? If you want to run EA with a centralized model (stored on a RDBMS like Oracle, MS SQL Server, MySQL and so on) you should start by install that DB and create an empty database there (CREATE DATABASE DDL).

You will be able to open an empty model from the EA tool (remote model) only after manually running this scripts on the SQL database (using the Administration tools of the DMBS or a general-purpose SQL tool like Aqua Data Studio, Squirrel SQL Client - open source, java-based, etc.).

After these initial steps you can have the full team working on the same (remote) model.
Remember: If you need permissions per package in the model you'll have to activate security.

(@2016-11-14: Added instructions link)