Entity Framework Code First: Doesn't load referenced object

I have a problem with a simple class. One property of my class is a reference to another class, but when I read, it's always null.

public class Product
{
    [Key]
    [DatabaseGenerated(DatabaseGeneratedOption.Identity)]
    public int Id { get; set; }

    public String Description { get; set; }

    public virtual Trademark Trademark { get; set; }
}

public class Trademark
{
    public int TrademarkId { get; set; }

    public String Description { get; set; }
}

Those are my classes, very simple. Then when I get the first element:

Product p = context.Products.First();

And p contains the right product, but Trademark is null.

Even if I want to do a query using linq, like:

var prods = context.Products.Where(p => p.Trademark.TrademarkId == 1).ToList();

The database is generated Ok.

Using EF 4.3.1, with SqlServer compact edition 4.0

Thanks for any suggestions.

Add: This is my context class:

public class HPContext : DbContext
{
    public HPContext()
        : base()
    {
        this.Configuration.LazyLoadingEnabled = false; //Just for test

    }

    public DbSet<Product> Products { get; set; }
    public DbSet<Trademark> Trademarks { get; set; }  

}

Add: Database schema:

Table: 
  Products

Fields: 
  Id int primaryKey
  Description nvarchar(4000)
  Trademark_TrademarkId int


Table:
  Trademarks

Fields:
  TrademarkId int PrimaryKey
  Description nvarchar(4000)