That's a lot of questions! So I'll just tackle a few of them:

Usually it's easiest to put the sdf file in the same folder of the
emulator/device as your app. You can set up VS to automatically deploy the
sdf file along with your app for testing. I generally prefer to test on the
actual device if I have one as it's usually faster as well as closer to the
actual experience.

I like SQL Server Management Studio (or SQL Express Sp2 Management Studio)
for testing queries, etc., although you can also use Visual Studio for that.

You can use Activesync to connect to the server for syncing or some other
such as wireless - it just depends on your infrastructure. The actual
syncing can be done using web services, or in the case of SQL Server as the
server also RDA or merge replication. You can also just copy the sdf file to
the desktop and write a desktop app to do the syncing. Again, it depends on
your needs.

Everybody gets lost on Microsoft's huge site, and most of us use a search
engine like MSN or Google to find what we want. Start by looking for SQL
Server Compact Edition Books Online. Also check out
www.microsoft.com/sql/compact for downloads, whitepapers, tutorials and
webcasts.