Then I would say you needed to install the package as described in the document string.
If you are using Emacs 29, then the recommended connector is sqlite-builtin', which uses the new builtin support for SQLite. You need to install the emacsql-sqlite-builtin’ package to use
The only difference is you don’t need to compile a C file (a sqlite file) . You still need the Elisp package that utilizes built-in sqlite for Org-roam. I don’t know my description of English language is precise, but that’s what the documentation says and what I do for Linux, which works.
Then I have run out of ideas. I will try version 29 on Windows when I get back to my computer.
If the built-in function sqlite-mode-open-file does not let you inspect ~/.emacs.d/org-roam.db, then the built-in SQLite may not be working properly, and you might like to report it to emacs development mailing list.
I create and publish the Windows binary installers/zips of Emacs currently.
I agree that there’s no sqlite DLL provided with the current Emacs 29 pre-release snapshot. I do plan to try updating the packaging environment and process to build that along with the rest of the DLLs that end up in emacs-*-deps.zip (meaning it also would be included in the full zip and self-installer).
To do this requires some updates in the build environment. I plan to hold off on that until after the Emacs 28.3 is released (currently Emacs 28.3 rc1 is available for testing).
Beside the change of screwing up during the updates and uncovering bugs related to new depenancy versions, updating the build environment before I build the 28.3 release would mean 28.3 would have different deps vs the other release in the Emacs 28 series.
Once 28.3 Windows binaries are published, I’ll update MSYS etc, get sqlite installed on the build env, and have a go at making a new set of snapshot binaries from the emacs-29 branch. I’ll try to remember to follow up here but welcome to ping me via private email Email or CC in messages to emacs-devel or the org mode mailing lists. (I do look at the lists but am way more likely to see messages where I’m CCd.)
Finally, until I have tried building with sqlite support myself I won’t be entirely sure, but… It’s very likely that you can copy a sqlite DLL from (e.g.) the MSYS32/MINGW64 sqlite package but (based on some mailing list comments from Eli), you may have to rename the DLL as well as copying it to the bin folder under your Emacs instalation/unpack location. If you have success trying that I’d love to hear about it.