You can include the DataDirectory macro, and set the location to an suitable place in code.
connString = string.Format("Data Source=|DataDirectory|\{0};", fileName);
private void Application_Startup(object sender, StartupEventArgs e)
{
// This is our connection string: Data Source=|DataDirectory|\Chinook40.sdf
// Set the data directory to the users %AppData% folder
// So the Chinook40.sdf file must be placed in: C:\\Users\\<Username>\\AppData\\Roaming\\
AppDomain.CurrentDomain.SetData("DataDirectory", Environment.GetFolderPath(Environment.SpecialFolder.ApplicationData));
}
This will require you to copy the database file to the desird location (if it does not exist already) during initial application launch.