There are two methods of the array object that may help:
BinarySearch
Supported by the .NET Compact Framework.
Overloaded. Searches a one-dimensional sorted Array for a value, using a binary search algorithm.
LastIndexOf
Supported by the .NET Compact Framework.
Overloaded. Returns the index of the last occurrence of a value in a one-dimensional Array or in a portion of the Array.
If this is a custom object you may have to override the Equals method so the comparison can take place.
I would still use a for loop as it is guaranteed to work.