What do the different files in the SQL Server CE for Devices do?

There are a lot of files in the SQL Server CE distribution. These are the ones I am seeing

1. sqlce.dev.ENU.phone.wce5.armv4i.cab
2. sqlce.dev.ENU.ppc.wce5.armv4i.cab
3. sqlce.dev.ENU.wce5.armv4i.cab
4. sqlce.phone.wce5.armv4i.cab
5. sqlce.ppc.wce5.armv4i.cab
6. sqlce.repl.phone.wce5.armv4i.cab
7. sqlce.repl.ppc.wce5.armv4i.cab
8. sqlce.repl.wce5.armv4i.cab
9. sqlce.wce5.armv4i.cab
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I just want to be able to use Query Analyzer and make database calls to save my stuff in it. Do I need to install all of these?

The CAB files are for different build/platforms of Pocket PC/Windows Mobile. If you're using a modern Windows Mobile 5/6 ARMV4I device then you can ignore the PPC and PHONE files as those are for older devices. The Query Analyzer is in sqlce.dev.ENU.wce5.armv4i.CAB. The REPL files contain the runtime needed to use SQL CE Replication.

You need sqlce.dev.ENU.wce5.armv4i.cab and sqlce.wce5.armv4i.cab to use the database engine and Query Analyzer tool for a modern Windows Mobile device.