As I understand it.
Windows Phone 7
Tightly regulated configuration consumer OS currently based on Windows CE 6 but soon to migrate to CE 7. Apps are tightly sandboxed written in C# managed code only running on a modified Compact Framework with a cut-down Silverlight presentation layer accessed via C# code but actually implemented in native code for efficiency.
Windows Embedded Compact 7
Componentised version of Windows CE 7 so OEMs can pick and choose the OS configuration. Full application access to the OS, presumably native or managed, so includes the Compact Framework. No UI is provided but a Silverlight compatible presentation layer is provided and OEMs are expected to provide their own UI on top of this to differentiate their offerings. Mainly targeted at the tablet/slate market but could be used by enterprise customers.
Windows Embedded Handheld
Just announced rebrand of Windows Mobile 6.5 aimed at securing the future of the enterprise LOB (Line Of Business) market where Windows Mobile has almost total dominance. From Microsoft but note the phrases emboldened by me which seems to imply that this will remain an open platform.
"Likewise for enterprise customers of our OEMs, investments in existing enterprise LOB applications will also be protected. An updated Windows Embedded Handheld platform based on Windows 7 technologies (Windows Embedded Compact 7) will be released in the second half of calendar year 2011, offering enhanced features and functionality to meet the needs of networked enterprise devices. The platform will also enable new key scenarios through support for rich user interfaces and natural input. A clear migration path will be available for these applications with Microsoft tools and technologies to a new application platform based on Microsoft Silverlight and Microsoft XNA, as well as Visual Studio 2010, with the Windows Embedded Handheld release in 2011."