Learn what SQL Server CE 4.0 means for ASP.NET developers. Find out where you can get it and how to install. And finally learn how you can create tables with no tools provided.
Of course, SQL CE isn't limited to web application, I was just referring to ASP.NET application, because this version of CE allows to use it by just uploading its DLL.
As for other usages, say on desktop or in occasionally connected applications, I also wrote two tutorials on that: