Microsoft has an official page on this subject here:

Installing the Microsoft SQL Server 2005 Mobile Edition Device SDK

Contrary to what happened with SQL CE 2.0, SQL Mobile does not by default install the OLE DB provider on the device. This file, sqlceoledb30.dll, can be found in the same directory of the setup cab files. After performing a regular install of SQL Mobile, this file must be copied to the device's \Windows directory and registered.

The device component in all Primework's products is a native code OLE DB consumer. If the sqlceoledb30.dll file is not present or not registered, the device component will not work correctly.

A free COM DLL registration software can be found here.