I need a tool that show me the differences between two .sdf files. Is there something I can download or do I have to write some code?
There are a number of companies which make schema comparison tools for SQL Server (which I presume is what underlies your question). For instance xSQL Software offers xSQL Object, which is free for certain editions of SQL Server. Red-Gate have SQL Compare, which has a 14-day trial.
If you are looking for something FOSS, there is Open DBDiff.