Can we somehow combine mqtt explorer with mqtt db, in order to store data directly on PC/server?
Can we install mqtt explorer on win server 19?
MQTT-Explorer is not a db, it is a client for viewing MQTT data from an MQTT Broker such as provided by Mosquitto or Mosca.
MQTT is not a DB either. Since MQTT can, at best, only store the last value for any topic (by using the retained flag). MQTT Broker's are optimised for data communications not data retention.
However, you can run both MQTT-Explorer and Mosquitto on a Windows Server or indeed on a Windows 10 PC if you really want to.
Of course, none of this directly relates to Node-RED.
Is this not a DB?
Not really. It is more of a cache - in fact that is exactly what it is. It caches incoming/outgoing MQTT msgs. It doesn't say but I imagine that it still only caches the last msg of any specific topic. It also doesn't provide any query or other CRUD methods. It also suffers from the same issues that MQTT Brokers to, it is configured for throughput not data safety.
Not quite sure why it does outgoing or what benefit that is? Indeed, not entirely sure what benefit the node gives to be honest since it seems to replicate what the retained msg flag does in MQTT anyway. I suppose that it caches all msgs rather than just retained ones?
Not to say that this or retained msgs aren't useful. But you should consider them in context. They are a cache of variable data - which might be exactly what you want?
Either way, none of that relates to MQTT-Explorer.
It would be better if you could explain the purpose for which you want to retain some data then we could possibly provide more than just an explanation of the terminology.
Unless i am misunderstanding you - I think you are confusing things.
node-red-contrib-mqttdb is a node for storing MQTT data in a DB
mqtt explorer is a client (just like node-red MQTT is a client, so is anything MQTT that ISNT the broker)
Of course you could use node-red-contrib-mqttdb for storing data you enter into mqtt explorer but that's really quite impracticable.
My question is- can we transfer and store sensor data obtained from RPI node-red directly to PC/Server in some DB, like SQLite, MQTT DB or else?
of course.
There are many database nodes (MS SQL, MYSQL, Influx, etc, etc) - AND - as you can see, node-red can receive MQTT data.
so, link the two together. 
It has been done many times
Its pretty much bread and butter stuff.
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Like I said, if you shared what you were trying to achieve, you would get much better answers.
As Steve says, there are tons of ways to store IoT sensor data in a database.
So the simple answer is: Yes.
I just want to obtain sensor data with node red, visualize it, upload it to cloud (can thingspeak upload data via mqtt protocol, or can just only via http?), and store it in DB on Server.
Dunno. Ask in their forum or on stack exchange.
Node red can.
I was wonder can we add some mqtt library, and connect it to thingspeak library, to send data to thingspeak via mqtt protocol?
Node-RED already has out-of-the-box MQTT support via MQTT nodes. No need for extra libraries.
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