Visual Studio 2008 supports several programming languages; primarily Visual C++, C#, and Visual Basic.Net.
The .Net Framework is an extremely large collection of libraries and application programming interfaces (APIs) for Windows operating systems. It is much too large for embedded systems that are intended to be small and light, like the CUWIN. Therefore, Microsoft has created the .Net Compact Framework to suit needs of the embedded systems market. The CUWIN comes with the .Net Compact Framework 3.5 pre-installed.
Microsoft did not release the Smart Device Programmability tools for any Visual Studio release beyond Visual Studio 2008, so Visual Studio 2008 is the latest version of Visual Studio that can be used to program Windows CE 6.0 devices like the CUWIN.
The following video demonstrates how to set up a Development Environment on a host PC in Windows 7, but the procedure is the same for Windows 7, 8, and 10. At 2:45, the video demonstrates how to install Visual Studio 2008 Professional.