it depends on the kind of database you have. Is this a per-user or per-machine database?

You can store your DATA in the CSIDL_COMMON_APPDATA directory (which is usually C:\ProgramData) if the data is shared between users on the machine or CSIDL_APPDATA (which is usually C:\Users\USERNAME\AppData\Roaming) if it is specific to a given user.

Please note that you can't install per-user data files from an elevated running application (e.g. your setup.exe). In this per-user scenario, you have to install the database to a global accessible folder and then copy it (at first application startup) to the per-user location. You have to do this because you don't know how many profiles are on this machine now and in the future.

Hope this helps.

BTW, you have to make sure that your application and the deployment strategy is UAC-aware and (at least) Windows 7 compliant.