I would suggest that you require the user to have SQLite of appropriate version to be installed as one of the prerequisites for your software product, as well as the compatible .NET Framework version. In my opinion, this is a preferable option for most cases.
However, you can consider to deploy either of them with your application.
For .NET, please see: http://msdn.microsoft.com/en-us/library/6hbb4k3e%28v=vs.90%29.aspx
For SQLite, you have to study the problem: http://bit.ly/WnY14r