Microsoft SQL Compact Edition is a runtime environment. GFI Archiver's search indexes require it. Each index makes use of a SQL Compact database, an sdf-file aside of the dtSearch index.
GFI MailArchiver 2012 SR2 (build 20121204) installs and requires this runtime as a system wide installation. It can be found under Programs and Features within Windows' Control Panel. The runtime can exist alongside of a normal Microsoft SQL server installation. On a 64bit operating system, both runtime versions need to be installed, the 32bit and the 64bit version. The GFI MailArchiver installer does this accordingly. Further information about this, as well as a manual download link, can be found here: http://www.microsoft.com/en-us/download/details.aspx?id=9290
Any other version of GFI Archiver and GFI MailArchiver (including older and newer versions) do not install it system wide, but place the runtime's dll-files directly into GFI Archiver installation directory.