To install .net compact framework follow the link below. You need to install it while your device is connected by ActiveSync (Windows Mobile Device Center) and then it will install itself on your device too, if you tell it to.
http://www.microsoft.com/DownLoads/details.aspx?familyid=9655156B-356B-4A2C-857C-E62F50AE9A55&displaylang=en