Hi Run Baseline security analyser and if you have .net installed run sql best practice analyser - both can be downloaed from M$.

These check for all the obvious holes.

does this have to be installed on a server?

Yes, if thats not an option you can do it manually with the technet guides but most of the holes relate to installation and planning.

As a developer you can log errors - dont present SQL errors to the users and also take steps to prevent SQL Injection.