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?