First off, Sujay, I'll assume you didn't mean Windows CE explicitly. I'll assume you meant programming for handheld devices running a Microsoft operating system. CE hasn't been used for five or six years. The devices are all running Windows Mobile. 6.5 is the most popular now.
You do not need an SDK to program for Windows Mobile in Visual Studio. It is already baked in. If you want to get the latest tools to develop on Windows Mobile 6, then yes, the location you specified is perfect.
Here's another great place to get high-level info: Windows Mobile Development Center