Sriram Krishnan has a great post introducing the SqlCeResultSet as well as a demo of how to use it. Here is a snippet of the article:
What is a ResultSet (SqlCeResultSet)?
Think of a ResultSet as something that gives you the programmatic ease that a DataSet gives you but the performance of a DataReader. Using the typed ResultSet that VS 2005 generates, you can write strongly typed code. However, since the data isn’t being double buffered, your application doesn’t eat up any memory at all. So to use a cliché, you get the best of both worlds.