You can find these cab files in the Program Files/SQL Server Compact in ARM folder. You will also need a .NET cab file which you can get from Framework installed directory. If you have Visual Studio 2008 installed you can get them easily you don't need to download these.
The files are
After copying these files in TEMP folder in WINCE double click each of them to install them one by one. Install them on the default path (Recommended).
Now you can run SQLCE commands in your application using C# or any language . If any one of these files are not installed properly you may not be able to run the SQL Server Compact.
The database file is .sdf which will be used in WINCE. You can create this DB file in SQL Server Management 2008. On startup just select database engine type to compact and create the file. Then copy it to the WINCE and you are good to go.
How to connect to it will be in next tutorial....
Queries are welcomed..