Previously there was an application in the VGX windows directory named SDAuthUtilDevice.exe. This is needed for development with Visual Studio 2003. However on the newer VGX CE build that I am using now (5.0.43) I cannot find it.
It's on your development PC at Program Files\Microsoft Visual Studio .NET 2003\CompactFrameworkSDK\WinCE Utilities\Authentication. It's likely not in the image because Studio 2003 doesn't officially support debugging against CE 5.0 (it might work if you manually deploy CF 1.0). Studio '03 certainly cannot target CF 2.0 or later.