You mention that you have configured all the projects in VS.NET to build for x86 target. This is necessary.
You may also need to ensure that the ArcGIS Mobile Windows application or the SDK is installed on the machine to provide the necessary key.
Do you mean that i need to install the Mobile software on each device where I want to deploy my custom application on (built using the Mobile SDK) ? My AGS Mobile 9.3 custom applications didn't require any additional software installation I was able to solely deploy the custom app.