Dictionary or Database—Please advise

[Jeremy]

I have lots of data that I currently store in dictionaries.  However,
the memory requirements are becoming a problem.  I am considering
using a database of some sorts instead, but I have never used them
before.  Would a database be more memory efficient than a dictionary?
I also need platform independence without having to install a database
and Python interface on all the platforms I'll be using.  Is there
something built-in to Python that will allow me to do this?

Thanks,
Jeremy