This is applicable for Windows Mobile 5.0 and earlier.  Windows Mobile version 6 already has the functionality built into the platform

Before you can install applications on Windows Mobile Devices; you would be required to copy or install pre-requisites. These files are usually CAB and REG files as given below

• sqlce.ppc.wce5.armv4i.CAB
• sqlce.repl.ppc.wce5.armv4i.CAB
• NETCFv35.wm.armv4i.cab
• NETCFv35.Messages.[language].cab

Download and Install below softwares onto your PC and then copy the required CAB files as suggested by the Application requisities onto the Mobile Device

1. Microsoft SQL Server Compact 3.5 Service Pack 1
2. Microsoft .NET Compact Framework 3.5

You may also seek assistance from below  Microsoft Post

http://msdn.microsoft.com/en-us/library/bb986876.aspx