No, the whole thing can be part of the Application load as you will just want the database for the end users and not want all the management tools on them. You will just want them for your development and set up work.
Here are a couple more articles that go into detail about embedding the database.
SQL Server Express WebLog : Configuring SQL Express During Installation
http://blogs.msdn.com/sqlexpress/archive/2006/09/20/configuring-sql-express-during-installation.aspxEmbedding SQL Server 2008 Express in an Application
http://msdn.microsoft.com/en-us/library/dd981032.aspxHTH,
Chris