If you have trouble installing the Windows SDK...

If you run into problems installing the SDK, there are a few common culprits. Click the Log button on the "Install Complete" screen and open the log. Or browse to your %temp% folder and open sdksetup.log. Scroll all the way to the bottom, because that's where the error will appear.

One frequent problem is with  Debugging Tools for Windows or Microsoft .NET Compact Framework 2.0 in the log. If you have install problems, and the log references those apps, uninstall those apps andthen install the SDK. In both cases, the SDK will reinstall those files for you. In the case of the Framework, that issue should also be resolved in the February CTP. We're also tested on the fix for the Debugging Tools.

The final error is due to a problem with the downloaded ISO. 10:00:04 AM Wednesday, January 25, 2006: [SDKSetup:Error] Config_Products_Install: Windows SDK Setup (failed): Installation of the "Microsoft Windows Software Development Kit" product has reported the following error: Fatal error during installation.
This is due to a problem with the ISO that was downloaded. Delete the ISO you have and re-download it. For the users who reported these problems, that solved it.

Yeah, I'm obsessed with install problems. It's my life as a setup PM to be haunted in every waking hour with concerns that there's something wrong with the way that people install our product. Setup is one of those areas where you don't notice it much if it's done right, but if there are problems, it's obvious. I want my feature area to be ignored. I want you to talk more about our docs, tools, headers, samples, etc., etc., than how you got the product in the first place.