The Microsoft Platform SDK installation (PSDK-x86.exe) is also wizard driven. Just answer the questions, agree to the license agreement, and keep clicking Next. The default for the most recent SDK install selects a custom installation. You should keep the custom installation selection, but only to add “Register Environment Variables” to the installation options. This should make compiling a little easier. Once installed, the SDK features described in the MSDN help files will be available to your programs.