Microsoft released…
SQL Server 2005 Compact Edition Developer SDK
…about a month ago. The kit includes a CAB file to install SQL Server 2005 Compact on Pocket PCs and Smartphones running Windows Mobile 2003 and newer.
You can find a Microsoft document about upgrading from SQL Server CE 2.0 to SQL Server 2005 Compact Edition at…
Upgrading from SQL Server CE 2.0 to SQL Server 2005 Compact Edition
For other useful information about SQL Server 2005 Compact Edition head to http://www.sqlserverce.org, a portal dedicated to building a community of interest around this product.