Steve had one letter to which he wished to reply immediately.
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简单的说：
之前还真没注意过，查了一些资料，我个人的理解：
Steve had one letter to reply. 他有一封信要回。
但是加了一些修饰，“他想”、“马上”回信，所以变成：
Steve had one letter (to which he wished) to reply (immediately).
这里为什么要用to which？
to在这里我理解为something he will do "to" this item（which代表item）
因为句子后面里的意思是要如何“do处理”这个东西，所以用“to + which”，所以跟后面的动词也有关系
但是还是不要太纠结于为什么了，记住了、习惯了这种句型会用了就OL
例如：I can't trace the letter to which you refer.
我查不到你说的那封信。
结构：
I can't trace the letter(to which you refer).我查不到那封信（你说的那封）
反例：The letter which you send me is still on the way.
你寄给我的信还没收到呢。
这里用which，而不用加to，因为后面句子说的是这封信的一个状态，并不是要对这封信做什么。
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Steve had one letter to which he wished to reply immediately.相当于
Steve had one letter which he wished to reply to immediately.
以前的语法书讲过。
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是的。所谓的“介词+关系代词”引导的定语从句。to which 就是 letter。并且 Steve has a letter which he wished to reply to immediately.和 Steve has a letter to which he wished to reply immediately. 两种说法都可以。