When distributing an SQL compiled application you should also distribute:
- A config file (for .Net CF 2.0)
- System.Data.SQLite.dll (there is a desktop and a device version files).
There is an example of a compiled sql application here:
http://www.basic4ppc.com/files/SQLCompiled.zip
It includes a Device and a Desktop folders with the files required (TreeView.dll and Northwind.sl2 are not required).