Well, if you want you could always go to the microsoft website,
w2k is the OS, SQL is REALLY an application that run on top of the OS, so to sum it up
OS : W2k, MAC, windows 9x, XP, unix etc etc
application : Microsoft SQL 2000, DB2, word
basically everything that needs the OS to run i categorized it as an APPLICATION, almost the same as your Notepad
BUT, they serve different pusposes, eventhough it got SERVER as part of their name such as SQL server, IIS server, database server
the reason why they are called Server because they listen to what their clients want them to do, perhaps lookup a database, send a webpage etc