Publishing Problems Database Program

I published a small program actually to try if an SQL Database goes published with the program. But from what it seems it didn't get published. Actually I am thinking of making a bigger program, but to test if it's possible I tried this: I created an SQL Database the same as the one described in the How do I videos about creating a database. Then I just entered some data and dragged it on a form. Now,  I saved the program and published it. Took it on another computer with nothing installed, no VS2008, no SQLServer installed an neither .NET 3.5. Until there everything worked fine, as in, the setup installed Java, .NET 3.5 and rebooted. Then I ran the program and gave me an error about the database that it can't find anything with that filename. Anybody knows what can I do to export the database with the program when i publish it?

Thanks guys