For simple Local SQL database stores, there are quite a few solutions. A good full comparison can be found on from Wikipedia
SQL Express 2008
Out of process, runs as a windows service, supports stored procedures and views and does pretty much everything SQL standard does with few limitations. 50MB install.
Ideal for anything but large SQL deployments.
Loads of how to guides for SQL Express
SQL Compact Edition 3.5 (.sdf files)
In process, the code for accessing the database runs within the same process as your application. Ideal for embedded systems (point of sale, ATM, in-car systems etc...). Microsoft's equivilent to SQLite. Very small install (easy to deploy with app).
Getting started guide for SQL Compact Edition and a load of HowTos to get you going
SQLite
The non-Microsoft answer to an in process database. Pretty much the same functionality as SQL Compact Edition apart from it's a smaller install (300kb for SQLite vs. 2MB for SQL Compact edition), it supports larger database files (32TB for SQLite vs. 4GB for SQL Compact edition).
SQLite getting started article