Q:

Setting up a Smart Device Project in VS 2012 with CF3.9

I currently need to work on a Compact Framework Project again.  I used to do this some time ago with VS 2008, however I don't have a license for this anymore.  I do have licenses for 2012, and it really seemed like good timing for me given the recent announcements (Get started developing for Windows Embedded Compact in Visual Studio (Compact 2013)). 
I downloaded and installed Application Builder for Windows Embedded Compact 2013
And install the Embedded Compact 2013 Update 5 (full setup). 
Unfortunately after these steps the Project Templates still won't show up. 
My current understanding is that the template will only be visible when I also install the SDK. 

The SDK provided for the Windows Embedded Compact 2013 product that you are targeting.  Typically, this SDK is provided by an OEM.  

However, I don't have a device for development, I used to use the emulator for this and they used to be available in Visual Studio without big fuzz. 
I tried to find an emulator using my preferred web search, but without any success. 

A:

Using Windows Embedded Compact 2013 (WEC2013) it's impossible to develop a Net CF 3.9 application without an SDK. 
There isn't a default SDK.  In general, when you have an embedded system, it isn't general purpose but it has specific features that the OEM exposes with a custom SDK.  In this way, avoiding standard SDK, who develop application can't use feature that there won't be on the target hardware. 
The only way you have to start develop is to install Platform Builder and using built in CEPC BSP to create a CEPC image for a virtual machine and an SDK for it. 
After installing this SDK you can use your virtual machine with CEPC image to run your application.  In this way you can create an "emulator" for a x86 system with WEC2013 on it. 
Paolo.