How to get started with SQL Server Compact 4.0?

Question

I've downloaded the install files and ran them, I get some binaries in my program files folder and I've added a reference in my project to the dll. But how the heck to I create the .sdf file? It feels like I'm missing some sort of obvious clue...

Edit: This is an old question and the documentation and tooling is not available.

Answer 1

Here's an example using the SqlCeEngine class to create a database and SqlCeConnection to start querying this database.