If File.Exists("Test.sdf") Then
   File.Delete("Test.sdf")
End If 
Dim connStr As String = "Data Source = Test.sdf; Password = <password>"

Dim engine As New SqlCeEngine(connStr)
engine.CreateDatabase()
engine.Dispose()

Dim conn As SqlCeConnection = Nothing

Try
   conn = New SqlCeConnection(connStr)
   conn.Open()

   Dim cmd As SqlCeCommand = conn.CreateCommand()
   cmd.CommandText = "CREATE TABLE myTable (col1 int, col2 ntext)"
   cmd.ExecuteNonQuery()
Catch
Finally
   conn.Close()
End Try

if (File.Exists("Test.sdf"))
    File.Delete("Test.sdf");

string connStr = "Data Source = Test.sdf; Password = <password>";

SqlCeEngine engine = new SqlCeEngine(connStr);
engine.CreateDatabase();
engine.Dispose();

SqlCeConnection conn = null;

try {
    conn = new SqlCeConnection(connStr);
    conn.Open();

    SqlCeCommand cmd = conn.CreateCommand();
    cmd.CommandText = "CREATE TABLE myTable (col1 int, col2 ntext)";
    cmd.ExecuteNonQuery();
}
catch {}
finally {
    conn.Close();
}