Be sure to download SQL Server Compact Edition quick, before it changes its name again… 🙂
(ps. I recomend downloading both the run-time and the SDK from the download page. The SDK doesn’t put the DLLs in the default directory of C:\%Program Files%\Microsoft SQL Server Compact Edition\v3.1\ referenced in the docs)
Update: SQL Server Express Studio doesn’t currently support SSCE – but it will with Service Pack 2. You can get the CTP of it here.