no such file to load -- sqlite3

I followed a tutorial on lynda.com to build Hello World app on
Windows.

I got an error msg as follow when I loaded http://localhost:3000/say/hello

-----------------------------------------------------------
MissingSourceFile in SayController#hello
no such file to load -- sqlite3
-----------------------------------------------------------

I went to download sqlite3 but don't know where to install sqlite3.
Can someone help please?

Thanks!

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