Heads up, I got it working.
On VS2012 Add Reference, you have to browse and look for;
C:\Program Files (x86)\Microsoft SQL Server Compact Edition\v4.0\Desktop
and select,
System.Data.SqlServerCe.dll
Note, the above was for SQLCE 4.0. More details below.
Import it on your project and you're good to go. Just make sure you're importing the right version for the database you are using.
SQLCE 4.0
C:\Program Files (x86)\Microsoft SQL Server Compact Edition\v4.0\Desktop
SQLCE 3.5
C:\Program Files (x86)\Microsoft SQL Server Compact Edition\v3.5\Desktop