The Device Status dialog will show you the status of your input devices. This is only useful if you have a drawing tablet. If you do have one, then you will be able to see and adjust what tool, color, brush, pattern and gradient you have assigned to your different pens (i.e input devices).
To alter the context each device has, you simply drag and drop brushes, tools etc. with the middle mouse button from the respective dialog (e.g you drag and drop tools from the toolbox).
It can be very wise to set up a standard context for all your tools and save it (and disable saving of device status on exit in the preference dialog). By doing so you will always have the same settings of the tools each time you start GIMP.