1- In the "Configuring the code generation process" window, you will find Target Platform dropdownList, select .NET 2.0.
2- Re-generate the code
3- Make sure your application uses the newly generated code.
4- Make sure you reference SD.LLBLGen.Pro.ORMSupportClasses.NET20.dll & SD.LLBLGen.Pro.DQE.SqlServer.NET20.dll
Not SD.LLBLGen.Pro.ORMSupportClasses.CF20.dll and not SD.LLBLGen.Pro.DQE.SqlServerCE.CF20.dll