LinkLabel no underline - Compact Framework

You can use LinkBehavior:

Me.linkLabel1.LinkBehavior = System.Windows.Forms.LinkBehavior.NeverUnderline;

It wont be visible in the designer at Design-Time but will be correct in Runtime.

Otherwise do it in Code (which should be the same as the designers code):

Font f = LinkLabel1.Font; 
LinkLabel1.Font = New Font(f, f.Style && !FontStyle.Underline)