Where can I find the .NET Compact Framework SDK for developing Compact Framework applications in Visual Studio?
Unlike the desktop version of the .NET runtime there isn't a single download for the .NET CF that I am aware of.
You instead need to install a Visual Studio based SDK for each device type you want to support. These SDKs install emulators and other development related support files specific to a given platform that the .NET CF runs on (i.e. XBOX, Zune and Windows Mobile OS variants all have subtle differences even though they all use the "same" .NET CF).
For example here is the MS downloads page for SDK for Windows Mobile 6.0 Professional and Standard devices. When you install Visual Studio also make sure you select the optional Smart Devices support feature.
If you build something against the WM 6.0 SDK, you should find that for the most part your .NET CF application will work on any Windows Mobile device (i.e. Pocket PC 2003, WM 5.0, WM6.0, 6.1, 6.5...). This of course assumes you don't include something device, or OS version specific.
If you install more than one SDK, its easy enough within the Visual Studio IDE (a Change Platform menu option) to toggle between the various OS versions/platforms within your project to test on different emulators etc.