You can download and install it from here. It is recommended you use the automated one-click install provided by the Web Platform Installer x64 or x86. Click on the appropriate install link below based on your version of Visual Studio:
I installed the SDK for VS 2012 with WPI 4.0. Upon successful installation, the installer listed all products installed and other products available to be installed.
If you’d like to see what’s included in the latest SDK, click here.