I personally use VS 2008 SP1, I had a the Express version but that expired but I don't recall the Mobile toolkit was ever installed on the Express version.
I highly suggest everyone who is having difficulties, to use VS 2008 SP1.
There is a way to make the Mobile toolkit to work with VS 2010, but I personally didn't even bother with it. It takes more work to do it. Someone here has posted some basic instructions on how to make it work with 2010.
If you are ok with VS 2008, you might as well use it. If there are things in VS 2010 you need, then search the forums for VS 2010 or something like that and hopefully the thread will show up.
If my memory serve me correctly, you will have to manually reference certain files in order for Mobile objects to work. I looked at it, then realised I am not gonna bother with that, I just sticked with VS 2008 and been happy.