Were you planning on writing your own database engine?? Windows has a small, limited database engine built into it, called the
Extensible Storage Engine[
^]
Your problem is that there is no .NET wrappers that I know of to make using that engine easier in your code. You'd have to implement this wrapper yourself.
Other than that, you'd have to use a database engine, like SQLite, SQL CE, SQL Express, LocalDB, or whatever... Just Google for "Windows embedded database" and you'll come up with a ton of them.