If you only want to store settings, there is a couple of simple options that does not require installing any software.
You could use my.settings variables, to store locally your settings. The downside is that if you move the application they are not going to move with it, as they are saved in the user profile folder, I do not know exactly where.
Another option is to use a datatable for settings, and store it in an xml file. Saving it and loading it is very easy, just google and you'll find plenty of examples. And this will be kept in the same folder of your application, unless you specify otherwise.
If you really want to store a lot of data with the database functionality but not having to install anything at your PC end, SQLite is good option, or also an Access database could be used using ADO.