I'm planning to use Sqlite but I don't know how to integrate it to visual studio or use it. Any help please... thanks.
Depends on how you want to use it. The easiest is to get the amalgamation version - this version "contains all preprocessed C code combined into a single source file", meaning you have a single .h and .c file to add to your project. This is the officially recommended practice.
If you want to build a "proper" library or link against SQLite dynamically, you have a bit more work ahead, since there's no VS project/solution files included with SQLite. You'll have to set up your own library project, add the correct files from the sqlite-source-x.y.z.zip file, and set this project as a dependency on your main project. Doing this is actually officially discouraged.
EDIT:
Forgot to mention that the above solution is assuming C/C++, as OP didn't specify language.
I really recommend using System.Data.Sqlite ( http://sqlite.phxsoftware.com). Have been using it for quite some time and it works great every time! You can create tables using the designer, similar to for MSSQL etc. Recommended++