When you click on a link to download one of the Windows Presentation Foundation Samples in the Windows SDK, you go to the Windows SDK .NET Framework 3.0 Samples page, where you can download all the .NET samples in bulk.
This can be convenient, except that when you are looking at an individual sample topic, there's no way for you to know where each sample is in the download you just installed. The WPF team is working on a way for users to download individual samples from their respective topics, which will allow you to determine the location of the sample yourself. Until the fix is implemented, the WPF folks have posted a handy file listing all the WPF samples and their locations.
Ever wonder why managed samples are included in the documents of the Windows SDK but unmanaged samples are installed to your hard drive as loose files in the file system? Find out in Why are Windows SDK samples installed differently?
Samples PM, Windows SDK Team