David has posted an introduction to getting MDbg working with your managed device applications.
It’s worth noting that in his post, David talks about deploying and using the netcflauncher.exe and netcfrtl.dll to connect to your device. If your device is connected via ActiveSync, this is an unncessary step. After connecting your device and loading the MDbg .NET CF extension, simply issue the "device" command at the prompt and you should see your connected device:
mdbg> device
*1 <devicename> (ActiveSync)
To show that you are really connected, you can get a list of active processes on the device by using the "processenum" command.
mdbg> processenum
Active processes on current machine:
(PID: 0x0feb4002) NK.EXE
(PID: 0xefea5752) filesys.exe
(PID: 0x2f92b04a) device.exe
(PID: 0x8ebd79e6) poutlook.exe
(PID: 0xef5ac326) gwes.exe
(PID: 0x4ef17fbe) services.exe
(PID: 0x0ef17f76) shell32.exe
(PID: 0xced0f27a) repllog.exe
(PID: 0x6ec4b3ae) BTTray.exe
(PID: 0xeebc9ada) connmgr.exe
(PID: 0x2ebcd40e) srvtrust.exe
(PID: 0x2ebc9afe) WirelessIcon.exe
(PID: 0x2ea05026) tmail.exe
(PID: 0x8f92142e) rapiclnt
Et voila! No need to deploy anything to the device.