You can also use the native win ce databases. Much less overhead than having to install SQL CE on the client... here are some examples...

http://builder.com.com/5100-6373-1064551-2.html
http://msdn.microsoft.com/library/default.asp?url= /library/en-us/wcedata5/html/wce50conmountingandun mountingadatabasevolume.asp
http://www.google.com/search?hl=en&lr=&client=fire fox-a&rls=org.mozilla%3Aen-US%3Aofficial&q=wince+v olume+database&btnG=Search