The emulator generaly uses a root path within your PC where you can copy files onto and vice-versa. One of the most generaly used directories is ':\Windows CE Tools\*XPTO*\*XPTO2*\Emulation\...' where...
I've developed Apps for both Windows CE and Pocket PC OS and I've used the SQLServerCE once ! (for a short amount of time) ... Better you do it by your self