Here are links to the tools to architect, design, and develop Windows Phone applications using Visual Studio and Expression Blend. Note that they are listed in recommended installation order.
1. Visual Studio 2010 Ultimate Release Candidate (Needed ONLY if you want create applications using the professional tools)
2. Silverlight 4 Tools for Visual Studio 2010 (Recommend installing this if you install VS 2010 Ultimate RC)
3. Expression Blend 4 Beta (Needed in order try Expression Blend with Windows Phone)
4. Visual Studio 2010 Express for Windows Phone CTP (be sure to read the release notes)
5. Microsoft Expression Blend Add-in Preview for Windows Phone
6. Microsoft Expression Blend Software Development Kit Preview for Windows Phone
Items 3 – 6 are the minimum I would recommend installing. The Windows Phone Emulator has specific graphics hardware requirements that can be found in the release notes for item 4. It is also not supported to run the tools within a virtual environment.