You can use MSDE, a SQL server compatible database engine that MS makes available for free. You can download and install MSDE from a whole variety of sources. Here is one source.
MSDE also comes with Visual Studio.NET / .NET framework SDK. It is available under $(VS Install drive):Program FilesMicrosoft Visual Studio .NETFrameworkSDKSamplesSetupmsde. You can then run $(VS Install drive):Program FilesMicrosoft Visual Studio .NETFrameworkSDKSamplesSetupconfigsamples.exe to configure the northwind database that the samples use.