Embed a database to my application? (VB.NET)

Peace be with you!
I have been developing apps with VB.NET (old fashion??), upon deployment, all my apps connect to a mysql database server by also installing a mysql database server and of course, mysql db connector to other computers together with the app. But, I can see there a lots of other software that do not require a separate installation of a database server, software like QuickBooks..they seem to have their databases embeded in the application. This removes the hassle of having to make a separate install of mysql server to the client who doesn't even know what is. How is this accomplished? Is it possible with VB.NET + Mysql?
Thank you.