There are a number of ways to connect a web page to a datasource. Most are server extensions (application servers), although it's also possible to do with IE data binding.

PHP is a popular app server because it's free, relatively stable, and has acquired a good rep among open-source devotees.

Perl is a nice choice because it's a very mature language and is still under active development. ActiveState has a free distibution which is very advanced and easy to configure and use.

Microsoft's ASP and Macromedia's ColdFusion are also reasonable choices, probably a little easier to learn than Perl or PHP, but aren't free. (Although you can get a developer's edition of CF which is fully functional but only accepts requests from the host machine You can also develop ASP under MS's Personal Web Server for Win95/98, or the NT Option Pack.)

Java is certainly a possibility, and you can get a developer's edition of JRun, enabling you to create and run servlets of JSP on your local machine (there are lots of free Java servers, but JRun is very nice and doesn't cost as much as a new car if you decide to purchase a production copy. Hurry, though, because if MS buys Macromedia, JRun is a goner).

All of this presumes you're creating a web app with database connectivity...if you're just doing all this on your local computer, there are many other ways to establish a connection, programmatically or using a utility.