Gathering and managing data

That question might have been answered a hundred times, and I have been goggling for an answer but nothing…I’m pretty knew with WP, php and mysql so please cope with me.
I have installed wp as a local server just for putting into practice that:

I need to collect different data through a website form and be able to access that data, do queries and so on. I do not know if first I have to design a database through phpmyadmin or mysql workbench and make it work in the website, or if I can just do everything using a plugin.

I am asking because as I said I have little idea of using mysql and the first thing I came up when thinking on this was to build a database, make it work on the web site with the form, and then be able to download it and use it within a software like MSaccess or Filemaker.

Thanks very much for all the comments and help!!