SQL Server CE is a small, in-process database that provides the essential features of a relational database and is intended for desktop and mobile applications that need a local data store but do not require the full functionality of SQL Server. Each database is stored in a file that, by default, has an .sdf extension.
For SQL Server CE, opening a connection opens the database file. As a result, creating and releasing connections for each request would be quite slow. To avoid these performance problems, an application that uses SQL Server CE typically keeps a connection open for as long as it uses the database.Consequently, SQL Server CE does not support stored procedures. If you try to use any of the Execute methods, such as ExecuteScalar and ExecuteNonQuery, that include a stored procedure as a parameter, the application block throws an exception. Instead of stored procedures, you can use in-line SQL statements. There are Execute method overloads that accept a SQL statement as a parameter. For the same reason that stored procedures are unsupported, you can only send one SQL statement in a request.
It now includes a new overload of the Database.UpdateDatabase method that uses the updateBatchSize parameter. Setting the UpdateBatchSize parameter to a positive integer value causes the DataAdapter object to send updates to the database as batches of the specified size. This reduces the number of database round trips.
Source : MSDN