as per my knowledge, in order to use any third party driver i have to download it first
Correct. You can generally get
JDBC drivers in the same place where you got the database itself. If you can't find it there, google for "download jdbc driver <<<insert name of your database>>>".
based on the Types of drivers mentioned above does the database also change from Sql to Oracle to MySql
The types of drivers are independent of the DB used. The most commonly used type is type 4; if that's available, look no further.
But how to make it work i my application i mean where i must place the jar file and later access the i.e load driver in my application.
Like any other jar file, it needs to be in the classpath both during compilation and during runtime. Example code of how to use the driver can usually be found in the driver documentation. It's pretty much the same for all of them.