Him
Please explain what is the difference between different datasources for SQL (shown in the pic.)
I mean difference between Microsoft SQL Server and Microsoft SQL Server Database File

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Connecting to Microsoft SQL Server means that you are establishing a network connection to a SQL Server — the database engine is running either on your machine or remotely and you are using the SQL Server as a service and are connecting to it. That server has the data and you just use a protocol to request operations to be performed.
Connecting using a Microsoft SQL Server database file (MDF) means that you want to use a database file and have a running SQL Server engine running locally use that MDF file. So, if you have SQL Express on your machine, when you create a connection to a MDF file, you’re essentially using the SQLExpress engine on your machine to serve up that MDF file (and the database contents) to you.
I admit I almost always connect to a SQL Server, as I’m not guaranteed to have the MDF file available in all environments. Plus, I usually don’t install SQL Express.
That’s how I understand the difference. Hope this helps!