I've been playing with the MS SQL2005 Beta.
That's what started me into this adventure. I tried to install SQL 2005 Beta, but it would not allow me to install - it said I had an out of date .Net framework. Apperently the framework that ships with VB 2005 Beta is not good enough. The solution that I found to install SQL 2005 was to uninstall all of my .Net stuff (vb 2005, vb 2003, etc...) then install SQL 2005 first and everything after that.
Well that seemed like a lot of work. To make a long story short I download MySQL instead (it really is very nice and there is a site
http://www.vbmysql.com/ that has a number if really good tutorials on using VB.net and MySQL, it even tells you how to install MySQL).
Kerry, you should give db4o a try. It'll be easier for you since you as there documentation is in C#.