You may also try installing the .NET CF yourself on the board if Visual Studio is unable to push the .cab file down to your system. The .cab file can be found on your development pc in the following folder: C:Program Files\Microsoft.NET\SDK\CompactFramework\v2.0\WindowsCE\wce400\armv4\NETCFv2.wce4.ARMV4.cab.
Unable to set breakpoints, or breakpoints are not working
Make sure you are using the latest WinCE Image for your system.