eXist is a quite good native XML database. It has been used during the development of the hyQuery module, so using eXist is the easiest way for trying out hyQuery.
A link to the eXist site is provided under "Downloads". After installing eXist, copy the hyQuery module to exist/lib/user/ in your eXist installation
directory. Then you can use it in your XQueries with the following declaration in the XQuery prologue:
import module namespace hq="http://www.ai-studium.de/hyquery" at "file:///C:/exist/lib/user/hyquery.xq";
Here is an example for a XQuery using the hyQuery function follow():
for $v in doc('/db/uni/vorlesungen.xml')/vorlesungen/vorlesung