The question is the title.
I have downloaded http://www.microsoft.com/en-us/download/details.aspx?id=19004. It's currently being installed. It takes care of the IDE part.
Is there anything else that I need?
And secondly, is there a start-up tutorial to create a project and a "Hello World!" app?
you find here a couple of Win CE tutorials, they are written for the colibri modules but the getting started tutorials should help you with most of the other ARM Win CE systems.
http://developer.toradex.com/knowledge-base/getting-started-with-colibri-modules