In Visual Studio 2008 and the .NET Compact Framework 3.5, NETCF35.Messages replaces the System_SR found in previous versions of the CF.
So if you had the message similar to the following running pre CF 3.5 when a framework exception occured: "An error message cannot be displayed because an optional resource assembly containing it cannot be found". A solution to this was to install System_SR_ENU_wm.cab (if running Windows Mobile) or System_SR_ENU.cab (if running Windows CE). Both of which ships with the Windows Mobile SDK's. Doing this only worked if you were lucky! not really, there is some science to it, science that I am not sure of. A combination of installing the CF and combination of localized apps on the device
In Visual Studio 2008, this new cab that replaces System_SR is named: (NETCFv35.Messages.ENU.wm.cab for Windows Mobile or NETCFv35.Messages.ENU.cab for Windows CE) is not installed by VS initially when you start debugging whereas in pre VS 2008 we enjoyed the automatic install on debugging for the first time. You have to install this CAB explicitly. This cab can be found here: C:\Program Files\Microsoft.NET\SDK\CompactFramework\v3.5\WindowsCE\Diagnostics - of course assuming C: is where you decided to install the CF.