How to include a database with a jdbc in a java project?

Hi to every reader of this question.

I'm a beginner so please be kind with me if I'm getting it wrong. I'm developping a Java project and I want it to use a database. The issue is that I want one database per software which means that every user of my software will have a local database that is meant for his personnal use and contains only his data. I've mostly been using databases with websites so there always have been a database in a server and not in an offline mode. Could you please help me to understand first, then to find a proper solution to include a database with a jdbc in a javaproject.

Thank you in advance for your help :)