Ready to move forward and add SQL Compact 3.5 support to my products, I downloaded the Beta 2 bits in the hope to find the required header files. Unfortunately they were nowhere to be found. Does that mean that you cannot use VS2005 with SQL Compact 3.5 Beta 2? No. Fortunately there is an indirect way to get the much-needed header files: download and install either Orcas Beta 2 (not yet for me) or Microsoft Visual C# 2008 Express Edition Beta 2. Apparently the header files are also available on the Visual Basic edition.
Now back to work.