can't insert the values into the tables

Hi Frederico!
Thanks for reaching out.
Please download the .zip file provided as a resource just under this video:

https://learn.365datascience.com/courses/sql/loading-the-employees-database/
After you do that, unzip it and there's nothing to adjust. You'll only have to start MySQL, load the *.sql code and run it! Then, run use employees;  to confirm the database has been properly loaded.
Hope this helps but please feel free to get back to us should you need further assistance. Thank you!
Kind regards,

Martin

Hi Frederico,
Thanks for your reply.
In principle, I suppose there's nothing different from what we show in class - you need to load the code and run it in order to set up the employees database.

Then, you are right that the code for SQL Server is different. Our course is based on MySQL, so we don't normally provide feedback on the other SQL versions. 

Nevertheless, I tried to adapt the first, fundamental part of the *.sql code so that it runs on SQL Server (you should be able to successfully run the entire code with these adjustments at the beginning) [please see attached file].
IF DB_ID('employees') IS NOT NULL
    DROP DATABASE employees;
GO

IF DB_ID('employees') IS NULL
    CREATE DATABASE employees;
GO

USE employees;
GO

PRINT 'CREATING DATABASE STRUCTURE';
GO

IF OBJECT_ID('dept_emp', 'U') IS NOT NULL DROP TABLE dept_emp;
IF OBJECT_ID('dept_manager', 'U') IS NOT NULL DROP TABLE dept_manager;
IF OBJECT_ID('titles', 'U') IS NOT NULL DROP TABLE titles;
IF OBJECT_ID('salaries', 'U') IS NOT NULL DROP TABLE salaries;
IF OBJECT_ID('employees', 'U') IS NOT NULL DROP TABLE employees;
IF OBJECT_ID('departments', 'U') IS NOT NULL DROP TABLE departments;
GO

CREATE TABLE employees (
    emp_no      INT             NOT NULL PRIMARY KEY,
    birth_date  DATE            NOT NULL,
    first_name  VARCHAR(14)     NOT NULL,
    last_name   VARCHAR(16)     NOT NULL,
    gender      CHAR(1)         NOT NULL CHECK (gender IN ('M','F')),
    hire_date   DATE            NOT NULL
);
GO

CREATE TABLE departments (
    dept_no     CHAR(4)         NOT NULL PRIMARY KEY,
    dept_name   VARCHAR(40)     NOT NULL UNIQUE
);
GO

CREATE TABLE dept_manager (
    emp_no       INT            NOT NULL,
    dept_no      CHAR(4)        NOT NULL,
    from_date    DATE           NOT NULL,
    to_date      DATE           NOT NULL,
    PRIMARY KEY (emp_no, dept_no),
    FOREIGN KEY (emp_no)  REFERENCES employees (emp_no)    ON DELETE CASCADE,
    FOREIGN KEY (dept_no) REFERENCES departments (dept_no) ON DELETE CASCADE
);
GO

CREATE TABLE dept_emp (
    emp_no      INT             NOT NULL,
    dept_no     CHAR(4)         NOT NULL,
    from_date   DATE            NOT NULL,
    to_date     DATE            NOT NULL,
    PRIMARY KEY (emp_no, dept_no),
    FOREIGN KEY (emp_no)  REFERENCES employees (emp_no)    ON DELETE CASCADE,
    FOREIGN KEY (dept_no) REFERENCES departments (dept_no) ON DELETE CASCADE
);
GO

CREATE TABLE titles (
    emp_no      INT             NOT NULL,
    title       VARCHAR(50)     NOT NULL,
    from_date   DATE            NOT NULL,
    to_date     DATE            NULL,
    PRIMARY KEY (emp_no, title, from_date),
    FOREIGN KEY (emp_no) REFERENCES employees (emp_no) ON DELETE CASCADE
);
GO

CREATE TABLE salaries (
    emp_no      INT             NOT NULL,
    salary      INT             NOT NULL,
    from_date   DATE            NOT NULL,
    to_date     DATE            NOT NULL,
    PRIMARY KEY (emp_no, from_date),
    FOREIGN KEY (emp_no) REFERENCES employees (emp_no) ON DELETE CASCADE
);
GO

IF OBJECT_ID('dept_emp_latest_date', 'V') IS NOT NULL DROP VIEW dept_emp_latest_date;
GO
CREATE VIEW dept_emp_latest_date AS
    SELECT emp_no, MAX(from_date) AS from_date, MAX(to_date) AS to_date
    FROM dept_emp
    GROUP BY emp_no;
GO

IF OBJECT_ID('current_dept_emp', 'V') IS NOT NULL DROP VIEW current_dept_emp;
GO
CREATE VIEW current_dept_emp AS
    SELECT l.emp_no, d.dept_no, l.from_date, l.to_date
    FROM dept_emp d
    INNER JOIN dept_emp_latest_date l
        ON d.emp_no = l.emp_no
       AND d.from_date = l.from_date
       AND d.to_date = l.to_date;
GO

INSERT INTO employees (emp_no, birth_date, first_name, last_name, gender, hire_date)
VALUES (10001, '1953-09-02', 'Georgi', 'Facello', 'M', '1986-06-26');
GO

Then, please consider switching to MySQL Workbench. I am sure this would help you complete the course more quickly and learn more from it. Then, it will be relatively easier to see how to switch into other SQL versions. 
Hope this helps.

Kind regards,

Martin