Using LaTeX is a bit like programming. You need a "compiler" (TeX distribution) to convert the documents you type to a final format, such as PDF. For Windows, MikTeX is the most common and easiest to install, in my experience.
The documents themselves can be typed in whatever program you like, you can do it in Notepad for all anyone cares. However, there are several programs available which make editing TeX documents easier (like the IDE for a programming language), for example by providing buttons to insert common constructs or to automatically execute the "compiler" and open the PDF afterwards. WinEdt and Lyx are such programs.
In general, these "IDE"s do not include a "compiler" -- in LaTeX language: the editors do not include a TeX distribution. However, if you choose a frequently used combination you will (hopefully) have little problems installing them. For example, if you first install the MikTeX distribution and then the WinEdt editor, chances are you can just open up WinEdt after the installation, type your first document, hit the "Run" button and everything will work.