If you are trying to get dirty with WinFX (“Avalon”, “Indigo” and Workflow), then check out this post by fellow RD Michele Leroux Bustamante. It contains easy steps to get the various pieces of Jan CTP including VS 2005 integration downloaded and installed in the correct order.
I wrongly assumed Windows SDK (1GB Download) is a superset and will include everything needed to work on WinFX. Had I had this cheat sheet earlier it would have been lot easier!. MS please note this and don’t have this so fragmented in future.