I assume you are using SQL Server, unfortunately
SQL Server is notoriously difficult to deploy in such a way.
So if possible think of alternatives like storing your data in
XML format, or using a more suitable database like
SQLite or
PostgreSQL (which has a portable version),
PostgreSQL Portable download | SourceForge.net[
^]
Here is a small VB.NET example:
PostgreSQL and VB.NET-VBForums[
^]