Hi, I'm Jason Sacks, the Setup Program Manager for the Windows SDK. It's my job to help make sure that you can set up and install the SDK, and that everything behaves as expected in setup.
To that end, if you're having setup problems, I'd like to refer you to two entries in my blog:"This installation package could not be opened."and A summary of our installation issues
And if neither of those entries are helpful, please email me directly. It's my job to have as close to zero installation errors as possible, so if you report any issues you encounter, it will help me do my job better.
Moving into our Beta 2 release, we've done a lot of work to make setup more robust and less error-prone. We've improved our logging, implemented a number of checks to make sure up front that you have sufficient disk space and the correct version of the Windows Installer (among other problems), and that it's easier for you to select just the content that you want to install. I think we're making steady improvements towards making our setup heartier and less error-prone, and a better experience all-around for you.
Bottom line for me is that setup should be something that works quickly and easily for you. If it doesn't, or if you have suggestions for how we can do things better, please post in your comments or shoot me mail.