The problem with the Compact Framework generally is that it doesn't support MSIL generation. Frameworks such as the Entity Framework often rely on generating MSIL at runtime. This is an expensive operation and really doesn't fit inside any device.
As such, object relational mappers really need to be geared towards the Compact Framework specifically, to support it. The Entity Framework, being part of the Enterprise Library, is geared towards server software.
You can't, it's not supported on the . NET compact framework.
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