Microsoft SQL Server Compact 4.0 is a free, embedded database that software developers can use for building ASP.NET websites and Windows desktop applications. SQL Server Compact 4.0 has a small footprint and supports private deployment of its binaries within the application folder, easy application development in Visual Studio and WebMatrix, and seamless migration of schema and data to SQL Server. – From Microsoft
Download Microsoft SQL Server Compact 4.0 from here. You should choose one package due to your Windows edition (64 bits or 32 bits);
BTW: We call Microsoft SQL Server Compact 4.0 as SQL Server CE 4 shortly.
After downloaded, double click the downloaded file to run:
Note the SQL Server CE will be installed a different folder with classic SQL Server or SQL Server Express.
After click install button:
Finally, when installation finished: