In Visual Studio 2010, there are no Smart Device compilers (managed or native) needed to create Windows Mobile (not Windows Phone). You must use Visual Studio 2008 to build, deploy, and / or debug.
EDIT
FWIW, Studio 2012 will support Smart Devices (Studio 2010 will still not receive support) in the first quarter of next year. Backward compatibility has not yet been announced, but it is always possible that you can develop WinMo devices using the ARM compiler. Here, the video here details some of the features.
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