the same, 2005 is .net 2.0 and 2008 is .net 3.5 if your mini2440 is CE 5, you should use 2005 , if your mini2440 is CE6, then you can use 2008 too, but in 2008, you can choose to use .net 2.0 for both CE5 and 6.
connection, just follow the manual. you should have active sync 4.5, then you can put your program via it, actually , if you follow the manual, you should be able to down load the program rigth away to your mini2440 for testing, choose windows CE device....and so on.