Developement environemnt:

1. SQL Server 2014
   
2. use windows authentication to log on SQL server 2014
   
3. IIS 7.5 to create website to Umbraco-CMS-release-7.5.6\src\Umbraco.Web.UI folder
   
4. Merge https://our.umbraco.org/download to Umbraco-CMS-release-7.5.6\src\Umbraco.Web.UI folder
   

I figured it out with following steps.
1. convert Sql ce to sql query file using "ExportSQLCE40.exe "Data Source=umbraco.sdf;" umbraco.sql"
download from http://exportsqlce.codeplex.com/downloads/get/160019
2. check your applicaiotn pool Identity
right click application pool and repalce default account with windows account that has sql permision
3. Replace SQL connection with SQL Server connection
</appSettings>
<connectionStrings>
    <add name="umbracoDbDSN"
        providerName="System.Data.SqlClient"
        connectionString="Data Source=localhost;Initial Catalog=Umbraco;Integrated Security=True;MultipleActiveResultSets=True" />
  </connectionStrings>
4. find a bug in code src\Umbraco.Core\Persistence\PetaPoco.cs
"else if (dbtype.StartsWith("SqlClient")) _dbType = DBType.SqlServer; " was missed.
            if (dbtype.StartsWith("MySql")) _dbType = DBType.MySql;
            else if (dbtype.StartsWith("SqlCe")) _dbType = DBType.SqlServerCE;
            else if (dbtype.StartsWith("Npgsql")) _dbType = DBType.PostgreSQL;
            else if (dbtype.StartsWith("Oracle")) _dbType = DBType.Oracle;
            else if (dbtype.StartsWith("SQLite")) _dbType = DBType.SQLite;
            else if (dbtype.StartsWith("SqlClient")) _dbType = DBType.SqlServer;

5. Now my first umbarco website works fine.