I was working with a Windows mobile application that uses SQL Server Compact. After upgrading to Visual Studio 2008 SP1 and SQL Server Comapct 3.5 SP1 I got MissingMethodException, Can’t find PInvoke DLL ‘sqlceme35.dll’. The problem is that the native DLL is not installed. I tried various solutions to no avail, and the only one that worked for me was to install the missing DLL manually. It is included in a CAB file located under C:\Program Files\Microsoft SQL Server Compact Edition\v3.5\Devices\<platform>\<processor>, but which platform and processor is the right one? I found the answer here: http://forums.microsoft.com/technet/showpost.aspx?postid=2594381&siteid=17. All Windows Mobile 5 and above devices are using sqlce.phone.wce5.armv4i.cab, so that’s the one you need to install. (So platform is wce500 and processor is armv4i.)
Configure a shared folder in the emulator and copy the cab there. On the emulator device, open the cab and it installs.