Normally databases and programming-languages adress two different issues: one is for storing data, and the other is for making funny things with (parts of) that data (incl. generating new, deleting old, manipulating data).
There is a project 'hsqldb' which is a rdbms written in java and either keeping all the data in memory, or writing it to an xml-file (for shutdown).
But of course there are databases in no Windows system (are you talking of windowing-system or system:ms win?).
Both is true.
Database came very late to Windows.
and late to windowing systems.