I have not done a lot specifically, but I do make a C# programs for a windows CE(mobile) device.
I made a new "smart device" project, and selected windowsCE.
My SDK(BSP?) for the device I used was already installed, so where it shows to deploy, I pick it from the list.
Note: You need to set up deploy options (diretory on device to deploy to, etc,etc)
I am setup to use ActiveSync, so I attached the device via USB and wait for activesync to make a partnership.
I then hit "connect" in visual studio.
I am then free to debug or deploy my application.