If you are coding windows ce 5.0 - 6.5 and developing using VS2005 or VS2008, then you must copy the db to the root directory where the exe is and then use use reflection to get the path of the .sdf file using
string dbPath;
dbPath = System.Reflection.Assembly.GetExecutingAssembly().Location;
dbPath=dbPath.Substring(0,dbPath.LastIndexOf(@"\")+1);
then you can use
System.Data.SqlServerCe.SqlCeConnection con = new System.Data.SqlServerCe.SqlCeConnection("Data Source=" + dbPath +"\Mobile.sdf");
Hope this helps....