...well, yes. MySQL database is saved in one kind file.
But you not do anything with it withouth MySQL program.
If plugin use MySQL to store data, stats, etc. etc. You need MySQL program or server.
You can try install this free MySQL+php program in same local PC where your srcds is.
http://www.uniformserver.com/
There is other similiar programs to.
If plugin use SQLite, sourcemod can handle that itself.
*edit
There could be differences with those free programs, so it work or not.