You may try to open an SQL Mobile database with the query manager tool, or you may get error messages trying to compact, repair, or shrink an SQL Mobile database.  The solution is to install the SQL Mobile replication CAB appropriate for your device platform.  If you installed Visual Studio to the default folder you will find this in C:\Program Files\Microsoft Visual Studio 8\SmartDevices\SDK\SQL Server\Mobile\v3.0\wceX00 and sqlce30.repl.phone.wce5.armv4i.CAB is the file you're looking for, or the appropriate version for your platform.  You may not have installed this file if you are not using replication, but it contains a DLL (sqlcecompact30.dll) that the managed SQLMobile code will be looking for if one of the aforementioned operations is attempted.  It also seems that deploying from Visual Studio will not install this CAB file when you are using code that depends on it.