Hey,

To add to what Pete has set, you need to create a setup project, and the easiest way that I have found to install the required CAB files is to have a Custom Install step that takes care of it for you.

You can find a good article on how to do this here:

http://www.devx.com/wireless/Article/31198/1954

And you can find more information about installing SQL Server on the mobile device here:

http://www.christec.co.nz/blog/archives/253

Hope that helps!!

Gary