actually, you get three programs<G>...
the server runs in the background and hosts all of your plug-ins. It can run on you main machine or on a separate machine dedicated to hosting plugins.
There is a VST plugin (VST2 & VST3 I think, I use the VST3) that drops into Sonar as a VST Instrument. This provides access to the server.
And there is a stand-alone client, which used to be separate, but now appears to be rolled into the server. I hadn't even noticed that till you posted.
VEPro is Vienna Ensemble Pro - Vienna Ensemble is a cut down version that comes with their libraries. You don't need that.
Hope this helps!
I'm in the midst of (finally?) building my templates. I've spent a fair amount of time over the last several months tinkering with VE Pro and VI Pro - they required a bit more cockpit time than I imagined (hoped?). But I think I get it now, and I'm having a blast building the template!