I want to create an application and for that I need to have a database. By searching Google I came to know that for my purpose SQL localdb will be good as it is light and fast. Kindly tell me the procedure for embedding this database in my program. I want to create a desktop application which can run on any Windows machine.
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I maintain a C# wrapper to the SQL LocalDB API in GitHub which is also available in NuGet. It will allow you to manage instances of SQL LocalDB in your application.
Sql CE may be a good fit. Scott Guthrie posted about implementing this - http://weblogs.asp.net/scottgu/archive/2011/01/11/vs-2010-sp1-and-sql-ce.aspx
I've had success using SQL Express in that way.
The most widely deployed database like you describe is SQLite. I would check that out as well.
SQLite HERE
Using a C# wrapper HERE
Or a C# port of SQLite HERE
you can use Siaqodb,it is a C# written db and it is designed for embedded envs - http://siaqodb.com