How can I embed a database in a desktop application?

Hi Guys,
I’m going to develop a desktop tool that will require a database.

How would I go about doing it in a way that will allow me to post the code to a website so that all of the desktop applications see a new version and download the database.

I’ve never done this before so any advice would be appreciated.

Thank you for your input.
I don’t think I’ve made my question very clear though.

The main thing I want to know is how can I create a local database that I can distribute with my software?

I only mentioned the update part because I wanted to know if a local database would be effected in any way.

Typically, people write a bit of code that checks with your website or webservice as to a new version being avaliable.

Good example would be a tool called fiddler–it is a http debugger so you can see it’s update check request.