Had this issue a number of times with open source apps. They auto install and generate a local SQLCE database.

Then after playing with the app, I want to take the database and the data and either move it to a local SQL Express DB or on Azure or a server. I can't remember where I got this from, but this site seems to be where it first came from.

1) Download the ExportSqlCE40.zip from here and copy the ExportSqlCE40.exe into the same folder where the SQLCE (SDF file) is located

2) Open a command console (cmd.exe) and CD into the folder the SDF and ExportSqlCE40.exe are located and then type this command:

ExportSqlCE40.exe "Data Source=FullPathToWhereSDFIsLocated" database.sql 

FullPathToWhereSDFIsLocated = the location of your SQLCE db e.g. C:\Sites\Avengers\App_Data\Umbraco.sdf

Once the command is executed you will end up with 'database.sql' in the folder.

You can run that script against a blank database (The script will not create a database) and it will create all the tables and data from the original SQLCE db.