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To get a feel for what it means to install the SQL Server Compact Edition here's a screencast that describes the installation experience and the minimal impact to your machine. This covers the download from: SQL Server 2005 Compact Edition CTP Download
The screencast also covers how to install the ClickOnce bootstrapper package within Visual Studio to cleanly enable deploying SQL Server Everywhere with ClickOnce.
For info on SQL Server Compact Edition, there's been a healthy discussion on my blog a
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