I see that this issue is discussed earlier but I haven't managed to
get my code working on ce.net 4.1 emulator, haven't tried on real
ce.net device yet, so here it is again

my code is
...
conStr = "Server=" & Server & _
";Database=" & DB & _
";UID=" & User & _
";Password=" & Pwd & _
";Integrated security = false"
con.ConnectionString = conStr

Try
con.Open()
...

same code work perfectly fine with with pocketpc2003, both device and
emulator, but on ce.net 4.1 emulator I get exception.
Tried to change localization preferences on device, but there is no
change, the thing is that database collation must be Croation_CI_AS,
and server is also SQL_Croatian_CP1250_CI_AS, I only changed default
language on server, but with no effect. On PPC2003 it works whatever
settings I use.