What's in a name?

So lately, I've started to deepen myself in playing chess, and becoming better. I thought: what could be better than just start playing against some computers?

Side note: So, I've put my thoughts to action, and started surfing to some good and educational programs.. First of all, before I continue deploying my topic, I'd like to tell you that this is a topic for my personal purpose, but I'd like this to be a guide for others to start too!

While I was on my quest to become a better player, I got confused rather quick by all the terms used to play chess, like UCI, CPU, Chess Engine, and you can go on..

From what I've found online, I have some "explanations" for named terms:

UCI:

The Universal Chess Interface (UCI) is an open communication protocol that enables a chess program's engine to communicate with its user interface.

Okay, this definition begs for some more explanation...

chess engine:

A chess engine is a computer program that can play the game of chess. Pretty clear, don't you think?

CPU:

The Central Processing Unit (CPU) or the processor is the portion of a computer system that carries out the instructions of a computer program, and is the primary element carrying out the computer's functions.

So this basically defines how much memory the chess engine uses

User interface:

A user interface is the system by which people (users) interact with a machine. The user interface includes hardware (physical) and software (logical) components. User interfaces exist for various systems

This is a start, and with this information, we could do a lot.. Examples of chess engines are Rybka, Chessmaster, Fritz, and you can go on, and on..

My question for you is the following: How can I use a chess engine for my benifit? Let's say that I have downloaded the freeware Rybka 2.0.2? How do I use it, do I need a UCI to start using it, or should I get a chess game, or could someone please explain me how this works? And what are the possibilities of such engine? Can it play on different levels, can it analyse games, can it help you memorize openings, and are all these things engine-based, or platform-based?

I'd really want to thank you in front for your help :)

PS: All the formal definitions are taken from wikipedia

You need a GUI (graphical user interface) for your freeware Rybka 2.0.2. You can get a free Arena GUI from the web, and just hook it up with the Rybka 2.0.2.