Looks like there is some sort of bug with the install program for the Visual Studio Tools. The error message says that some required component is missing, or that there is an version conflict. There is a fix for this posted at the MSDN Forums by Ginny Caughey, I’ll repeat it here:
Install sqlmobile30devtoolsenu.msi from the Visual Studio install media, located in the folder: \vs\wcu\SQLCE first. Then the CE tools will install.
I had this problem, and it was probably because I uninstalled the SQL Server Mobile Edition tools first. This seems to be a bug from Microsoft in that it requires the previous version of the database or that the uninstaller simply uninstalls too much.
The reason I uninstalled the Mobile Editon tools was because it showed up in the datasource list in Visual Studio. After installing the .msi file above, and installing the CE Tools – everything looks right in Visual Studio finally.