Yes, you will need to install a version of SQL Server on the client machine if there is not a network install of SQL server you can access.
You may wish to use SQL Server Express or Compact editions. Either one is free and made for local data storage
Express - Entry level database, ideal for learning and ISV redistribution
Compact 3.5 - Embedded database for developing desktop and mobile applications
http://www.microsoft.com/sqlserver/2008/en/us/editions.asp[
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