Before installing SQL Server 2005 Compact Edition on Windows Vista, User Access Control (UAC) must first be disabled.  While the installation will appear to install correctly with UAC enabled, SQL Server 2005 Compact Edition will not actually work.

To disable User Access Control:

Windows Vista:

1. Click Start, then go to Control Panel.
2. Click User Accounts and Family Safety if not using Classic View.
3. Click User Accounts
4. Click Turn User Account Control on or off.
   
5. Uncheck the checkbox to Enable User Access Control and click OK.  You will be prompted to restart your computer

Windows 7:

1. Click Start, then go to Control Panel.
2. Click User Accounts and Family Safety if not using Classic View.
3. Click User Accounts
4. Click Turn User Account Control on or off.
   
5. Change the position of the slider to the bottom (Never Notify).
   
6. Uncheck the checkbox to Enable User Access Control and click OK.  You will be prompted to restart your computer

Once SQL Server 2005 Compact Edition is installed, UAC can be enabled.