When working with strings in SQL Server, ordering is done at each letter, and the order those letters are sorted in depends on the collation. For some characters, the sorting method is much easier to understand, It's alphabetical or numerical order: For example 'a' < 'b' and '4' > '2'. Depending on the collation this might be done by letter and then case ('AaBbCc....') or might be Case then letter ('ABC...Zabc').
Let's take a string like 'Abby', this would be sorted in the order of the letters A, b, b, y (the order they would appear would be according to your collation, and i don't know what it is, but I'm going to assume a 'AaBbCc....' collation, as they are more common). Any string starting with something like 'Aba' would have a value sell than 'Abby', as the third character (the first that differs) has a "lower value". As would a value like 'Abbie' ('i' has a lower value than 'y'). Similarly, a string like 'Abc' would have a greater value, as 'c' has a higher value than 'b' (which is the first character that differs).
If we throw numbers into the mix, then you might be surpised. For example the string (important, I didn't state number) '123456789' has a lower value than the string '9'. This is because the first character than differs if the first character. '9' is greater than '1' and so '9' has the "higher" value. This is one reason why it's so important to ensure you store numbers as numerical datatypes, as the behaviour is unlikely to be what you expect/want otherwise.
To what you are asking, however, the wildcard for SQL Server is '%' and '_' (there is also '^',m but I won't cover that here). A '%' represents multiple characters, while '_' a single character. If you want to specifically look for one of those character you have to quote them in brackets ([]).
Using the equals (=) operator won't parse wildcards. you need to use a function that does, like LIKE. Thus, if you want a word that started with 'A' you would use the expression WHERE ColumnName LIKE 'A%'. If you wanted to search for one that consisted of 6 characters and ended with 'ed' you would use WHERE ColumnName LIKE '____ed'.
Like I said before, if you want to search for one of those specific character, you quote then. So, if you wanted to search for a string that contained an underscore, the syntax would be WHERE ColumnName LIKE '%[_]%'
Edit: it's also worth noting that, when using things like LIKE that they are effected by the collations sensitivity; for example, Case and Accent. If you're using a case sensitive collation, for example, then the statement WHERE 'Abby' LIKE 'abb%' is not true, and 'A' and 'a' are not the same case. Like wise, the statement WHERE 'Covea' = 'Covéa' would be false in an accent sensitive collation ('e' and 'é' are not treated as the same character).