The Mobile Client Software Factory has been archived by Microsoft sadly. The last build was in July 2006 and the target environment was Windows Mobile 5 and VS 2005. This factory was posted on codeplex a while back but it seems to have been removed recently for whatever reason.
If you want to run any of the blocks against the Compact Framework 3.5 you simply need convert the solution to Visual Studio 2008 using the VS 2008 convertion wizard then target the CF 3.5. I have done this and it seems to work just fine. I've written an article here on how to do this - fairly simple stuff.