Prince Andrew & Sarah Ferguson have two daughters, both carry the title Princess.
Prince Edward and his wife have a daughter too, but she is just a Lady.
Why is that so?
Under the 1917 Letters Patent (the legal document issued by the monarch dealing with titles) the following people are HRH Prince/Princesses:
The children of a monarch - Charles, Anne, Andrew and Edward
The male-line grandchildren of a monarch - William, Harry, Beatrice, Eugenie, Louise, James, Richard, Edward, Michael and Alexandra
The eldest son of the eldest son of the Prince of Wales: the as yet unborn eldest son of William.
Now by the late 90s, after the Diana years, the royals were on the nose with a lot of people and the press were turning on the family.
As a result Edward and Sophie, with The Queen's permission, decided that their children wouldn't use the Prince/Princess title but rather would take the style of the children of an Earl so Lady Louise Mountbatten-Windsor (her full name and the one used on the programme for William's wedding last year and in the CC about the wedding) and Viscount Severn.
James uses Viscount Severn, which is Edward's second title as a coutesy title. This is a tradition within the aristocracy for the heir to a title to use his father's second title.
If you are wondering who Richard, Edward, Michael and Alexandra are in the list of male-line grandchildren they are the other male line grandchildren of George V.
Richard is better known as HRH The Duke of Gloucester. His eldest son is known as the Earl of Ulster - his father's second title, and his eldest son is known as Lord Culloden - the Duke's third title. When The Duke dies the present Earl of Ulster will become The Duke (without the HRH) and Lord Culloden will become the Earl of Ulster.
Edward - the second Edward in my lists above - is HRH The Duke of Kent. His eldest son is known as the Earl of St Andrews as he is the heir to the Dukedom of Kent. The Earl of St Andrews eldest son is Lord Downpatrick.
Micheal is of course HRH Prince Micheal of Kent. As the second son of a Duke he has no other title but under the 1917 LPs his children are styled Lord and Lady - which is not normal - but is special for the younger sons of the sons of the monarch.
Alexandra is HRH Princess Alexandra - the only daughter of the late Duke of Kent.
George V had three other male line grandchildren - two of whom are deceased - HRH Prince William of Gloucester - the elder son of The Prince Henry but he predeceased his father and so didn't become The Duke of Gloucester. The other one who is deceased was HRH The Princess Margaret - originally HRH Princess Margaret of York. Her title changed from HRH Princess Margaret of York to HRH The Princess Margaret when her uncle abdicated.
The third male line grandchild is of course HM The Queen who was born HRH Princess Elizabeth of York.
Note that only the male line grandchildren get the style HRH Prince/Princess not the female line grandchildren - so no styles from their mothers for Peter, Zara, David Linley, Sarah Chatto, or the Harewoods (the descendents of George V's daughter Mary).
I hope I have not insulted you by telling you things you did know as that wasn't my intention but more to give you a full answer to your question by also explaining why there are other HRHs out there besides the descendents of The Queen.