ErikEJ.SqlCe.dll is for .NET desktop with SQL Server Compact 3.5 SP2
ErikEJ.SqlCe40.dll is for .NET desktop with SQL Server Compact 4.0
The zip file also contains 2 libraries for .NET Compact Framework:
ErikEJ.SqlCe.NetCF.dll: Requires .NET Compact Framework 3.5 and SQL Server Compact 3.5 SP2
ErikEJ.SqlCe31.NetCF20.dll: Requires .NET Compact Framework 2.0 and SQL Server Compact 3.1 (SQL Server 2005 Compact Edition)
(See sample download for .NET CF usage)