Make sure your mobile device (emulator or physical device) can physically reach the remote PC that your SQL Server is running on.
If your SQL Server is running on a PC named "AppServer", for example, go to "Mobile Explorer"

From the file explorer, go to the menu button at the bottom and select "Open Path"

Enter the path to your SQL Server here

If you can get to it from there, you can get it from Visual Studio.
If you canβt get to it (as I suspect), Windows Mobile should provide you with a more informative error message, and you will find out that this is not a problem with your project, but a network connection problem.
[UPDATE] If you cannot connect to your current settings, you need to go to Settings on your device and configure the connection that your device uses to connect to your network.

My emulator does not have a wireless card (as you can see in the image above), but you will need to configure a wireless card and a network router for the network to work together.
If you have not done so already, this question will be answered, and you will need to work to get your device connected to your network.
Here's a tutorial I found on the Internet: Texas A & M University Students: How to Connect to Campus Wireless Networks
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