Can I integrate form data to MS Access database like is done with Salesforce?

Can I download my form data into an access database?

You can create an excel report. Download it, and then import it into Access.

How to Create an Excel Report  

If you would like to automate the process you can do it programmatically

I suggest you start here:

How to Post Submission Data to Thank You Page

Then try this guide:

Send Submission Data via Post Method and Thank You Settings

Finally you will need to add your server side code to insert the posted data into your database.