VS 2005 not installing sql ce w/ deploy

I am using Visual Studio 2005 to create an application for a windows CE 5 mobile device.  I want to put a sqlce database on the mobile with a single table for storing data when the server is offline.

In VS references for my project I have selected System.Data.SQLServerCE  .NET   3.0.3600.   From what I have read it should install on the mobile when I do Build and Deploy.  However, I can't see that it has at all.

What is the best approach to creating the database & table, and getting them installed on the mobile so I can use all the SQLServerCE to access it?   Can I create them on my development machine and use ActiveSync to put it on the mobile?  Do I create it in Visual Studio?  Do I need to create it in code?

Thanks!