From TDN

Step Three - Install the Windows Server 2003 SP1 Platform SDK

Start by navigating to: http://www.microsoft.com/downloads/details.aspx?FamilyId=A55B6B43-E24F-4EA3-A93E-40C0EC4F68E5&displaylang=en

Download the files at the bottom of the page - the PSDK-x86.exe is the download you want.

Once downloaded run it:

Accept the license agreement:

Enter your user info:

Select Custom Install:

Select your install dir (remember it for later!). Pay no attention to scary download size:

Read the install tips:

Now set up your install so it looks like this (otherwise you are in for a long download)

Further customize it in the Microsoft Core SDK area:

Hit Next to begin installation:

Wait for download / installation:

Done!

Note:

Microsoft Windows Server 2003 R2 Platform SDK is the latest version. It can be found at: http://www.microsoft.com/downloads/details.aspx?familyid=484269E2-3B89-47E3-8EB7-1F2BE6D7123A&displaylang=en but you may consider installing the earlier version of the SDK, especially if you only need to write code for the Torque Engine. The earlier version of the SDK linked below was tested on a later OS, Windows Vista Home Premium, and the TGEA project was rebuilt and run in debug and release mode without any trouble.

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Onward to Step Four, Visual Studio configuration: TGEA/InstallVS2005/StepFour

Back to Step Two, DirectX SDK installation: TGEA/InstallVS2005/StepTwo