For this release, the Windows SDK is available as either a DVD ISO image (so that you can burn your own DVD) or as a Web Install (so you can launch Setup over the Web to install and download only the components you select during setup). For details and to download, see Windows SDK for Windows Vista ISO Download or Windows SDK for Windows Vista Web Setup.
The Windows SDK documentation is also live on MSDN2! We, the WPF SDK team, have updated much of our old content and also added a bunch of new content. For example, check out our new Introduction to Windows Presentation Foundation doc and use it as an entry point to the rest of our doc set.
Note that the Windows SDK site (windowssdk.msdn.microsoft.com) does not have the latest content.
Enjoy, and don't forget to let us know if you have any feedback or questions!