Ok, so yeah I'm happy to accept that I might be the only one that took too long to figure this out but...
When building and deploying a project from Visual Studio 2005 to the emulator (or a real phone) the Compact Framework and SQL Mobile would get deployed along with my project the first time and all was good. Except every time I rebuilt and redeployed my project then the SQL Mobile Cabs would also get redeployed, really annoying and time consuming, grrrr.
Ahhh, but now I've figured out how to stop SQL Mobile being redeployed and life is good again.
Go to the references section in your project, right mouse click on "System.Data.SqlServerCe", select properties and set the "Local Copy" property to "False", ahhh, cool, now just my project gets deployed!!!