Do you mean when you goto debug an application? If so, make sure you have selected the device cpu type. You do this by selecting Tools, Select Windows CE Device CPU. This caused a sore head for me for a few days!
No i have al that side going. you were lucky you didnt have a headach for 2 weeks like me! even when i selected the cpu type i had to completley rebuild my system. all i really want to do is create an app that interface with a cdbon the device. no servers or anything.