Windows Phone Developer Tools
This all-in-one installer will install a phone specific version of Expression Blend, Visual Studio, and XNA Game Studio!

Silverlight for Windows Phone Toolkit (Optional)
This optional download gives you access to controls and features such as the WrapPanel, DatePicker, etc. that aren't available by default.

.NET Framework 4
The .NET Framework provides you with the basic components that allow applications like Expression Blend to install and run. You should install this first if you do not have them already.

Expression Blend 4
For designing and developing Silverlight and WPF applications, the only tool you really need is Expression Blend. You get a fully interactive artboard and design surface along with a code editor for writing your C# or Visual Basic code.

Silverlight 4
To actually view Silverlight content, both ones you create as well as what others create, you will need the Silverlight runtime!

Deep Zoom Composer (Optional)
One of the cool features in Silverlight is the ability to visualize large quantities of image data. In order to do this, you will need to prepare your images into the Deep Zoom format, and Deep Zoom Composer allows you to do just that.

Silverlight Toolkit (Optional)
The Silverlight Toolkit contains a lot of controls developed by Microsoft that don't always ship as a part of Silverlight or the SDK.

Visual Studio 2010
For developing and debugging Silverlight and WPF applications, Visual Studio 2010.

Silverlight 4 Tools
The Silverlight Tools download is pretty much a giant bucket of sorts containing everything you need to get up and running for Silverlight development. You get the developer runtime and various patches and additions to allow you to develop your Silverlight applications in Visual Studio 2010.