That's how the makers of the sets get you. Basically, you shouldn't really buy anything (knife or otherwise) unless you know what it is for and think that you need it. That said, if you tell us what knives you have, we can tell you what each one is for.
In the mean time, I'll throw out some general information. Most lay-people believe that the size of the knife you use depends on the size of the thing you're cutting. This isn't broadly true. The knife you use depends on the way you will be using it more than anything else.
Here are the basic European kitchen knives and their uses:
Chef's knife: This is used for cutting things against a cutting board. It will do 90-100% of your cutting needs. Slicing, chopping, dicing, etc. You can get in a pinch by if all you have is a chef's knife. Some sets come with a 5-6" version in addition to a full-sized one (7-10"). Don't bother with the short one.
Paring knife: Paring is the act of cutting something in the air (as opposed to against a cutting board). You can use this for cutting the stem out of a tomato, cutting eyes or dirt out of a potato, for trimming the ends off of carrots or mushrooms, for cutting apart a head of broccoli, etc. A lot of people try to chop with a paring knife. Don't — it's a waste of your time.
Slicing/carving knife: Typically at least as long as a chef's knife, a slicing knife can be used for carving a bird (where cuts will not typically be against a cutting board) or carving a roast (where cuts will typically be against a cutting board).
Bread knife: For cutting bread. You can use other knives for this, but the serrations of a bread knife will help you get through the crust more cleanly and if there are seeds or whole grains in the bread they can screw up the fine edge of a chef's knife.
Utility knife: These come in lengths 4-6". Some people like them for certain tasks, but I find them to be too long to use for paring and too short to make a good slicer. Anything you do with one of these you can do with a chef's knife, a paring knife or a slicing/carving knife.
Boning knife: for cutting meat off of bones, cutting in between bones (such as ribs) or disarticulating joints.
You don't necessarily need to have all of these. For years I had only a chef's knife and a paring knife but I only ever used the chef's knife (despite cooking all of my meals).
There are a variety of videos on youtube that teach basic knife skills. I've seen a lot of them but most of them teach some bad habits. Jamie Oliver, for example, has a fairly good video, but he constantly bangs and scrapes his knife against the cutting board (and also there are some serious design flaws with the knife he's using). I guess this is fine if your knife has axe-like geometry, but it's a bad habit in general. (
http://www.youtube.com/watch?v=yJ44SxiemMs)
This is a great resource for learning about different types of Japanese knives:
http://zknives.com/knives/kitchen/misc/usetype/all/index.shtml
I don't know of any similar resources for European knives.
- Chris