SDAC requires OLE DB installed on the workstation.
Note: In current versions of Microsoft Windows, as Windows 2000, OLE DB is already included as standard package. But it's highly recommended to download latest version (newer than 2.5) of Microsoft Data Access Components (MDAC).
If you are working with SQL Server Compact Edition, you should have it installed. You can download SQL Server Compact Edition from http://www.microsoft.com/sql/editions/compact/default.mspx. For more information visit Working with SQL Server Compact Edition.