If the database is a multi user installation of SQL Server, it's better to install separately from the program. In such case the SQL Server is installed on a server somewhere in the network, once. The client applications then again are installed as many times as needed.
But if you're using SQL Server Compact edition, it's an embedded single user version and can be included in the setup by following the instructions in
http://erikej.blogspot.fi/2011/02/using-sql-server-compact-40-with.html[
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