This is an area that i have been looking at for my own projects over the years, and although there are many options, it can be difficult to work out all the features available, requirements, complications etc.
The Microsoft route obviously leaves you with MS SQL Express, but that still relies on installing a database engine on the host machine.
I have searched over the years, for file based solutions, embedded solutions etc. etc. and the only one that appears to jump out as being an option is VistaDB, the latest version consists of a 1MB DLL that you use with your project and provides all the SQL functionality.
I haven't used it yet, so cannot say how good it is or how bad it is, but there is a free trial version you can take for a spin.
[Note, i am not connected with the company in any way, so i am not try to sell anything here!]
http://www.vistadb.net/[
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Maybe worth a look......
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