>Something that will go from simple SQL statements right through to complex multi-join or nested SQL statements. I would prefer the interactive approach over a good book. If anyone knows, please let me know.

Mike,
I have never seen a training CD on a subject strictly syntactical like this. Think about it - the SQL training your looking for is simply how-to write SQL statements, which is matter of building a familiarity with syntax on a handful of statements. There's nothing IDE-based about this particular learning curve, so it's kind of hard to imagine "interactive learning" beyond staring at syntax rules & code examples, trying it, staring some more... try it again.... etc.