You have to install SQL Mobile on to your device. It is not a part of NETCF and ships as separate CABs.
These CABs can be found at this location:
%ProgramFiles%\Microsoft Visual Studio 8\SmartDevices\SDK\SQL Server\Mobile\v3.0\wce500\armv4i
sqlce30.phone.wce5.armv4i.CAB – SQL Mobile core – required.
sqlce30.dev.ENU.phone.wce5.armv4i.CAB – Query Analyzer tool and exception messages – optional
sqlce30.repl.phone.wce5.armv4i.CAB – Replication/RDA support –optional.
