C# – “Can’t find PInvoke DLL ‘sqlceme35.dll”

To extend Jared's answer, four more common reasons to get a MissingMethodException while P/Invoking in the CF:

3. You are missing dependencies of the native library you are calling into.
4. The native assmebly was compiled for the wrong subsystem (i.e. desktop, not CE)
5. The native assembly was compiled for the wrong processor (i.e. x86 and not ARM)
6. You don't have enough virtual memory for the DLL to load.

Have you verified the DLL entry points are undecorated with something like dumpbin?

The interop DLL is a C DLL that has entry points for P/Invoke calls made in System.Data.SQLIte. You cannot add a reference to a native DLL, you have to copy it to the device separately. An easy way to do this is to add it to your project, set the build action to 'Content' and set Copy to Output Directory to 'Copy if Newer'. When you debug, Studio will then push that file down to the device for you.