You can download and install Windows 8 Consumer Preview first and then Windows 8 tools and SDK. The latter includes Microsoft Visual Studio 11 Express Beta for Windows 8, which is your tool to build Metro style apps, the Windows 8 SDK, Blend for Visual Studio, and project templates.
Tools for Creating Windows Azure apps on your Windows 8 machine
Because the current release of Windows Azure SDK 1.6 is not compatible with Visual Studio 11 Express Beta, you will have to install Visual Web Developer Express 2010 or Visual Studio 2010. For more info, check out my previous post here.
Tools for Creating Windows Phone apps on your Windows 8 machine
Because Windows Phone SDK 7.1 is not compatible with Visual Studio 11 Express Beta, you will have to install Microsoft Visual Studio 2010 Express for Windows Phone or Visual Studio 2010. However, the Windows Phone emulator doesn’t work on Windows 8. An update (7.1.1) to the current Windows Phone SDK (7.1) fixes the emulator issue and introduces a new 256 MB emulator. For more detail, check out my previous post here.
In summary, you will need all three developer tools if you don’t have Visual Studio 2010 installed on a Windows 8 machine. The good news is that they can co-exist and work together.