I'm reading this Data Points article by John Papa, I needed to find sscesa20.dll which he referenced in the article.
Although I thought all of this was installed with Visual Studio 2003, apparently it wasn't ... The answer was to download SQL Server CE 2.0 ... this gave me the file I needed.
Please note that I had to install both the development and server tools on my development machine. Apparently Windows Server 2003 doesn't qualify as "Windows 2000 SP1 and higher". It's all good though, luckily John detailed how to set up the merge replication manually. I had to jump through a few hoops to get everything set up correctly though ... since I was connecting to my main sql server from my development machine, I had to correctly set up the account to be able to create the publication. Wasn't too hard though, I just had to add a local user named "distributor_admin" with system administrator privileges. Once that was done, I had to run the following stored procedure in Query Analyzer to allow distributor_admin to login remotely
EXEC sp_addremotelogin 'SERVERNAME', 'distributor_admin ', 'distributor_admin'
Before you do that though, you should run this stored procedure and make sure that the value returned is the actual name of the server
select @@servername
If not, then run the following two stored procs
sp_dropserver 'oldservername'
sp_addserver 'actualservername','local'
Thanks to "Fr" on the dbforums for that tip.
Pretty soon here I'll have merge replication working with a mobile device ... very cool stuff. This is going to give me the functionality I need so that my app can work in a disconnected state when away from the office, and talk straight to the main server when it can.