Not having SPs, views in CE means, I can not use them in a transaction, Is that right? May be not planning to update the existing SP but can I...

I think you need to copy the code given at the bottom under resources, and execute it from your SSMS.

Then run

EXECUTE [dbo].[WriteResultsToCsvFile]

@sqlcmd = 'select * from sys.objects'

,@filename...

What is

"EXTERNAL NAME [SQLCLRBulkCopy].[StoredProcedures].[WriteResultsToCsvFile]"

Can I create the procedure? And execute? Do I need to do any thing else?

Thanks