I'm assuming it's a WINCE device and not the Palm version. You need to look into SQL Server for CE and PPC:
http://www.microsoft.com/sql/ce/downloads/default.asp

You can get both the program and the books online there. It's really as simple as writing SQL statements, very similar to VFP SQL. There is a mini-version of Query Analyzer that lets you create tables, do queries, etc via a graphical interface.

There really aren't a lot of other good options and this one works quite well.

Mike