as said, to let your application work you have to use the complete .NET Framework instead of using the client profile. Just changing that in your project properties should solve the issue.

About the db there is not an official example, btw some discussions about it are available on the forum. Check out the following threads:
http://www.lightstreamer.com/vb/showthread.php?t=872
http://www.lightstreamer.com/vb/showthread.php?t=231 (most interesting part is on page 2)
http://www.lightstreamer.com/vb/showthread.php?t=23

HTH