This video explains how to install SQLite3 on both Mac and Windows. It also covers how to use SQLite3 using the console. SQLite is an open source software library that implements a self-contained, serverless, zero-configuration, transactional SQL database engine.
The database is part of your code and not an outside resource. The reason for creating SQLite was to provide a self contained database that was easy to use, could travel with the program using it and run on any machine with no other required software.