На сайте - Visual Studio 2008 Professional Edition - это значит можно подключить Resharper и программировать под CompactFramework
Visual C# Express was not made for creating programs that run against the Compact Framework. It was made for running programs that run on the full framework and the XNA framework, neither one of which are designed to run on your device's OS.
Ideally you would need to have Visual Studio Professional and the appropriate smart device SDK. If Visual Studio Pro is outside of your reach then download the .Net Compact Framework SDK, The Smart Device SDKs, and a copy of SharpDevelop as an editor ( ). I don't know the details of setting up SharpDevelop to work with a smartphone but it can be done. The details on on their site.