A while ago Microsoft made the announcement that there was to be a change in the SQL product line to include a new product, SQL Server Everywhere. In fact this is essentially a rebranding exercise around the SQL Mobile product (previously SQL Server CE). There are going to be a couple of changes made, making it possible to run SQL/e (Steve’s cute abbreviation) on Windows XP and hopefully a nice deployment model (for example ClickOnce).
Anyhow, if you want the goods you can get an early version by downloading the CTP.