It really depends on what your plan on targeting and what you intend to do.
The DeviceEmulator BSP is only for those using Platform Builder to actually generate device OS images. It's highly unlikely you need this (if you did, you'd already know).
Studio ships with a PPC '03 emulator (I think the WinMo 5 stuff was add-on, but honestly it's been a long time since I did a clean install so I don't recall), but if you want to target WinMo 5.0 or WinMo 6.x, then it's nice to install the SDKs for them. They include not just emulators, but also libs, headers and other pieces for features that were introduced in the newer revs of the platform.
So the general answer is that if you install Studio itself, then you have enough to start doing Smart Device development, but depending on what you intend to target, it might be useful to install a few other pieces.
As a last thought, I'd also highly recommend you buy some real iron - even if it's used off of eBay. You'll find that the emulator really sucks for some things, and I've been working with them long enough to just flat out not trust them, so I do 99% of my work on physical hardware. They've gotten a lot better, and for a lot of stuff they work fine, but you'll inevitably run into some weird behavior that you burn days trying to understand only to find out that it doesn't happen on a real device.