I created a SDF (SQL CE) database with Visual Studio 2008 (Add / New Item / Local Database).
Is it possible to edit this database with SQL Server Management Studio?
You can create .sdf files with SQL Server 2008 Management Studio.
In the File > Connect Object Explorer dialog, change the Server Type dropdown to SQL Server Compact Edition.
Then in the Database File dropdown choose New Database.... and you're ready to go.
I think Management Studio Express 2008 does not support SQL CE databases.
Were you using Management Studio 2005, or 2008? It should work in 2008 if you create a SQL CE 3.5 database ... just not in 2005.