Query Analyzer 3.5

...is a tool that will allow you to run SQL against SQL Server Compact Edition Database Files (.sdf). On a handheld device, click the icon that looks like a yellow database cylinder with a green right-pointing arrow overlaying it to make a new database connection. Then navigate to the "SQL" tab to run SQL commands such as this one for adding an index to a datetime type column:

CREATE INDEX Order_13 ON Order (CreationDate);