During the install WSUS under Server 2003 or as an optional component to be installed under Server 2008/R2 there is an option to use the “Windows Internal Database”. This database is based upon a stripped down version of SQL Server 2005 Express with three exceptions. First there is no database size limitations, any management of the database needs to be done locally either via command line or SQL Management Studio, and lastly there are no licensing restrictions (Moving to SQL Server Standard or higher requires SQL Client CALs or per-socket licensing in which both cost significantly more).
By default upon installation any databases will be installed under “C:\WINDOWS\SYSMSI\SSEE\MSSQL.2005\MSSQL\Data” as you may wish to adjust your antivirus scanning for this particular folder.
In the event you wish to manage the internal database via SQL Management Studio login to the server with administrative privileges with a server name of \\.\pipe\mssql$microsoft##ssee\sql\query while using Windows Authentication.