Install SQL Mobile edition on the top of SQL 2005 client tools?
I too have had problems installing the recent service pack of Visual Studio (VS) that includes the recent SQL Server Compact Edition (SQLCe) binaries.
Before this problem you have to ensure and check whether you've installed any CTPs they must be uninstalled fully first, a reboot of client machine helps a lot to clear up the cache. Say for the instance if you haven't installed or used any CTPs of SQL or Visual Studio tools then you need to first install VS 2005 SP1 from VSStudio. Next, you might also need to install the SQLCe MSI to get the bit installed in the GAC. These bits can be found here Editions download.
In additon to the above links an eBook "Hitchhiker's Guide to SQL Server 2005 Compact Edition", to download the SDK but you should now see the SQL Server Compact Edition as one of the choices when creating a Data Connection