You can right-click your project and add a new item, then select either a server-based database (SQL Server Express MDF file) or a local database (SQL Server CE SDF file). They will each require that the appropriate database (SQL Server Express or SQL Server CE) is installed, which may well have been done as part of the VS install.
You can also add an MDB or ACCDB file to your project that you previously created in Access, or you can connect directly to any other database for which you have the required connector, e.g. MySQL or Oracle. Those would require you to create an build the database outside of VS.