ClickOnce only works with assemblies and can only be deployed to a users Documents and Settings folder since that'll be the only place where they will always have read and write access. SQL Server Databases are not included as a deployable option in ClickOnce... This is due to security restrictions which can prevent the attachment of a database to your local server.
It comes down to rights - When ClickOnce was created the .NET Team wanted deployment to be as successful as possible which meant they could only copy assemblies to a User's Doc & Settings folder and already have .NET installed. In corporate environments a user may not always be able to install software but still have access to copy files - Since .NET offers XCopy Deployment ClickOnce works pretty good for deploying (or copying) assemblies. More sophisticated actions such as attaching SQL Databases require a full blown installation app.