SQL Server Compact has no ODBC driver and it thus cannot be used directly by ExpressID AFIS. You have 3 options:
a) Install ODBC database. For example MySQL is reasonably lightweight, fast, and free to redistribute.
b) Use embedded SQLite database. SQLite however wasn't intended to be used on large databases. Expect user registration to take several seconds on large database.
c) Use IDKit SDK instead of ExpressID AFIS. IDKit SDK is not a server, it however contains almost the same matching algorithm as ExpressID AFIS. IDKit SDK lets you use our algorithm without using the built-in database support. You can load fingerprint templates from SQL Server into memory and then ask IDKit SDK to perform identification over this in-memory set of fingerprints. IDKit SDK doesn't make copies of the fingerprint templates. This solution works in both C++ and .NET.