The June 2010 release of the DirectX SDK is now available on Microsoft Downloads. This release introduces official support for Visual Studio 2010, an updated version of the HLSL compiler with numerous fixes and minor improvements, improved documentation and samples, XNAMath C++ SIMD library version 2.03, and PIX for Windows usability improvements.
Update: Please note that the REDIST folder for the DirectX SDK (June 2010) is slightly out of date now. You should make use of the refreshed version of DirectSetup if you need the REDIST.
Known Issues: Be sure to read this article for known issues trying to install the DirectX SDK (June 2010) due to a problem with the Visual Studio 2010 CRT.
Note: The DirectX SDK is now legacy. You should use the Windows 8.1 SDK instead, or at least prefer the Windows 8.1 SDK over the legacy DirectX SDK as much as possible.