Just to add, might help...
I'd suggest to use NuGet to download / install EntityFramework (type it in there and you'll get a list).
You have two versions, one regular flavor and one for compact edition.
http://nuget.org/packages/EntityFramework/4.3.1
http://nuget.org/packages/entityframework.sqlservercompact
And with that you'll get a basic 'framework' for dealing with databases as well (you'd need just to install the SqlCE (suggest 4 as is newest)) - NuGet installs the dll-s needed.
You can use 'model first' approach with EF (entity framework) to create Db first,
or even better use 'code first' approach - to create Db automatically from your code, classes.
That'd take care of creating new Db etc.
I think that's the easiest way to 'start up' with a new Db. And CE as well.
CE (compact) is a good choice - but watch, it has certain limitations comparing to the standard server SQL (express or standard etc.). E.g. you cannot use I think xml fields, and some other things, stored procedures, views etc. (If I'm correct and remember from before).
Also depends on what you want to make and where to deploy. Desktop doesn't mean that CE is best solution (depends on many details).
hope this helps