The latest Windows SDK for developing on Windows XP is the Windows SDK for Windows Server 2008 and .NET Framework 3.5, released in March, 2008. Read more about it in this Windows SDK Team blog post or download it from the links below. The Windows SDK for Server 2008 has the content needed to develop on or for Server 2008, but also supports creating applications for or on Windows XP, Windows Server 2003, and Vista.
I'm asked this question all the time. If you want to install the SDK on Windows XP and create applications for XP or another operating system, use the Windows SDK for Windows Server 2008.
If you want to install the SDK on Vista, Server 2003 or Server 2008 and create applications that will work on Windows XP, use the Windows SDK for Windows Server 2008.