I have recently upgraded to Visual Studio 2012 and SQL Server Management Studio 2012, however I cannot seem to see how to execute SQL scripts (created by Entity framework) on a SQL Server CE 4.0 database. With VS2010 + SSMS 2008 the Transact-SQL editor would ask for a connection and you could browse to the object, however this option is not available in SSMS 2012.
I have tried to execute the script via the Server Explorer -> New Query window, but I get parse errors. Any clues?
Microsoft got rid of that for SSMS 2012, and suggested to use the integrated tools in WebMatrix instead (from memory, can't find a link for that sorry).
Try using the SQL Server Object Explorer instead of the Server Explorer. That should allow you to do what you wish.