Different tools.
Sharepoint Designer (SPD) is used for built in workflows, modifing existing pages, and a bunch of behind the scenes and admin type duties. It is billed as a end-user type tool but is too complex for that. This is the
Sharepoint Tools for Visual Studio is to help you create new items, create new workflow activies or complete workflows. Far above the end user and depending on how you want to go you can create stuff in visual studio and then use it using SPD.
Infopath used to create forms which are stored in sharepoint, end user level tool. Once you have a form stored in sharepoint you can use SPD to create a workflow based on the out of box workflow activities or you can use visual studio to create a more complex workflow which. If you have the enterprise edition of MOSS or the Forms server you can display these forms are HTML instead of requiring users to have Infopath installed on their local computers.
So if you are building a development/learning machine install all of them.