Error connecting to .sdf database-Collection of common programming errors

Which version of the product are you using?

Checking the basics first: Is the product installed on your machine ( check in Add and remove programs).Also check that the System.Data.SqlServerCe.dll is in GAC (C:\windows\assembly).

If your installation was correct, then sqlceme30.dll (and other dlls) should be loaded automatically using some registry settings.

Btw, did you try reinstalling the runtime package on your machine?