In the interest of full disclosure, I do work for Progress DataDirect, but you will find this JDBC driver enables you to develop applications as you would against Oracle or any other relational database, allowing you to use your SQL skill set against Salesforce.
Try starting with the following. There are lots of code samples and information to get you started.
http://wiki.developerforce.com/index.php/Web_Services_API#Java
Also, take a look at the Quick Start section of the API guide.
http://www.salesforce.com/us/developer/docs/api/index_Left.htm#StartTopic=Content/sforce_api_quickstart_steps.htm
You could avoid having to write additional code for web services by using Progress DataDirect's standards-based JDBC connectivity: http://www.datadirect.com/products/jdbc/salesforce/index.html.
In the interest of full disclosure, I do work for Progress DataDirect, but you will find this JDBC driver enables you to develop applications as you would against Oracle or any other relational database, allowing you to use your SQL skill set against Salesforce.