Finaly I finished to make a simple API to access SQL Server CE without using ADO. As I had only EVC 4.0 SP 4, I couldn't use SQL Server CE 3.0 since SQL Server CE 3.0 can only be used by VS2005.
Developing a software using EVC 4.0 that uses SQL Server CE as a RDBMS was very frustating. Since there is no ADO support on EVC. It is EVB that supports ADO. So, in the end, I had to use OLE/DB which was, althought it is very robust, very very frustating.
How to install SQL CE 2.0?
1. Download from this link
2. After installing the software, you can find Microsoft SQL CE 2.0 directory in Program files
3. To install the engine on emulator, just copy all dlls and other tools into \Windows\ and don't forget to register it.
You can find the dlls in '\Program Files\Microsoft SQL Server CE 2.0\Device\X86\I486'
After that, run 'dllregister.exe' to register everything. By the way, before registering, you can include ado dlls obtained from previous
EVB.
4. To test the engine, run 'isqlw20.exe'. This tool is very nice. It is similar to standard SQL analyzer.
In addition, you can find sample projects in the SQL CE directory.
However running the sample for EVC is not straightforward. I think I'll add the detail later...