Should all clients access the same central DB, or should each have its own instance? If the former, then the DB needs to be installed on a machine that all clients can access, and the
JDBC connection URL will need to contain the IP address (or machine name) of that DB server.
If, on the other hand, each client should have its own DB instance, then you could look into
Java DBs that can be embedded in the client, like HSQLDB or Derby.