It depends which edition you have installed. SQLEXPR.EXE is for Express Edition, while SQLEXPR_ADV is for Express Edition with Advanced Services. SQLEXPR_TOOLKIT.EXE contains the Management Studio Express and Business Intelligence applications, and SQLEXPR32.EXE is a smaller version of SQLEXPR.EXE that will only work on a 32-bit OS--it's otherwise identical.

All this information is on the download page you presumably got your links from. As for which of these versions you have installed, doing a SELECT @@VERSION should tell you; when I run that on the SQL 2008 R2 Express install on my machine I get this:

Microsoft SQL Server 2008 R2 (RTM) - 10.50.1617.0 (Intel X86) Apr 22 2011 11:57:00 Copyright (c) Microsoft Corporation Express Edition with Advanced Services on Windows NT 6.1 <X64> (Build 7601: Service Pack 1) (WOW64)

So you can see this is SQL 2008 R2 Express with Advanced Services.