Referencing Mark's post immediately above, regarding the need to possibly install the Microsoft Windows SDK for Windows 7 in some cases -
You may find that you have issues with the Microsoft SDK installer not successfully completing the installation. There are numerous types of error messages that can occur, and you will find explanations for many of these with a quick Internet search. There is one type of SDK installation failure that occurs with some frequency so we thought it would be worthwhile to post the fix here.
In the screen cap below, this particular computer had one or more Microsoft Visual C++ 2010 Redistributable packages installed. They will typically show up as a version 10.0.3xxxx or 10.0.4xxxx.
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VC_Redist_2010 conflicts.png [ 150.48 KiB | Viewed 10847 times ]
If these are installed PRIOR to attempting to install the Windows 7 SDK, the SDK installer will attempt to copy previous versions of some critical system files during installation, and will fail without any meaningful indication of the problem. The solution is to uninstall the redistributables, install the Windows 7 SDK, then reinstall the redistributables (or re-install/repair the application that originally installed them).