<p>What applications/modules/dlls do I need on the Window CE 5.0 device in order to be able to attach Visual Studio 2005 to process running on the device ?</p>

In the Debug menu, select Attach to process...
In the dialog that pops up change Transport to Smart Device.
Hit the Browse button and pick the type of device.
It'll pop up a connecting dialog, when it disappears, you get a list of processes on the device.
Pick the one you want to debug and the debugger will start up.
This should work on at least Standard VS2005, as long as you selected Smart device development during install (Express doesn't support smart devices).