Is there a database option that is local and does not require lots of overhead

I need to create a local database for query purposes. I wish to build and populate a database with data from a number of text files, do the queries needed, and then destroy the database since it is no longer needed.

I am currently programing it in VB.net but would eventually want to port into a java or like language so other platforms can be used.

I prefer something that does not require the user to download something else to make this work. A person I asked did suggest SQLite but I am not sure how to load it internally.