Installing WPF/E
Well, installing the WPF/E runtime is easy (a case of shooting ourselves in the feet if it isn't) but installing the dev bits requires a little more thought. Check out Joe Stegman's post here. In addition, there's been a wee bit of a problem with the Dec CTP as it's expired earlier than planned so the Feb CTP has been pushed out early.
That means you need an updated agHost.js file which you can get from here. You'll probably want to update the Visual Studio template which you can do by following the process outlined here to manually update an existing template. You'll find the WPF/E template itself in Program Files\Microsoft Visual Studio 8\Common7\IDE\ProjectTemplates\CSharp\WPFE. I had to run devenv /setup afterwards to get Visual Studio to see my updated template.