Reading the guide and it states - "if you install BB Handheld Mgr than you do not need to install BB Desktop Mgr" - I always thought I need the Desktop Mgr to install new programs and sync (w/o doing it wirelessly) with BES -

What is the difference b/w the too? Can I just install Desktop Mgr and setup my new BB with BES that way?

Think of the Handheld manager as the "Driver" for the blackberry, and the Desktop Manager is required for syncing/application install/backup (unless you're doing that OTA)

As far as I know the Desktop Manager will not work without having the Handheld Manager installed.

If you have BES 4.0 and your handheld ALREADY has v4.0, then you can do a wireless activation. If you need to upgrade your BB to v4.0, then you must install Desktop Manager. As you mentioned, to load any software to your BB, you require DM.