You do not need to add the app_data directory or install SQL Express on your computer. All you need is a connection string that allows you to connect to a remote database.
Data Source=NameOfDbServer;Database=DatabaseName;User ID=User;Password=PWD;Trusted_Connection=False
Once you have the connection string, you can start the database query. How you do this will depend on the technology you would like to use: NHibernate , LINQ to SQL , LINQ To Entities , plain old ADO.NET , ...
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