How are XML and JSON used in conjunction with SQL?

I've done a lot of googling as to what JSON is, and how it is used on the web. I understand that it is a way of storing data using Javascript object notation, and that it is a lightweight way to store data and is therefore preferable to XML.

However, I don't quite understand exactly how XML and JSON are used to transmit data in the first place, especially when using SQL. Is SQL data loaded into an XML file/JSON string and then displayed with Ajax?

I know this is a complete newbie question but I am seriously confused.