An introduction with a question

Hello everyone!
I am quite advanced PC user, who is, in his mature days trying hard to become professional.
So I learned VB.NET, and as a very, very newbie, after a lot of learning, I feel Like one that can't see forest becouse of trees.
I was thinking to make a solution (for exercize purposes) that should recive some data and save it. So I can not remeber nor find in numerous and very large books about programming in VisualBasic.net, do I need to make application that will enter those data into some (any) database, or is it possible that application records and keeps data for next use itself (like in games "Save game" comand). If there's anybody willing to bother with such a novice, please answer me.