Recently there has been a change to the way you obtain downloads of the WinDbg family of Debugging Tools for Windows. The classic link for the direct download of these installers was http://www.microsoft.com/whdc/devtools/debugging/default.mspx. Unfortunately, that link only directly makes available the older versions of the debugger (circa March 2009.) For the latest debugger it recommends you download the Windows Development Kit, which is around 700MB in size.
Relief is at hand, though: there is a Web installer for the WinSDK which allows you to just select those items of choice, such as the Debugging Tools for Windows. The link for the SDK is at http://msdn.microsoft.com/en-us/windows/bb980924.aspx
Do note that, this will INSTALL the debugging tools (which is not a bad thing, you can later XCOPY it to your target server) to the default location such as “C:\Program Files\Debugging Tools for Windows (x64)” (in my case this is the path, as I’m using x64 OS.) But it does help save some download time.