Windows SDK
The Microsoft Windows SDK is a set of tools, code samples, documentation, compilers, headers, and libraries that developers can use to create applications that run on Microsoft Windows operating systems. The Windows SDK combines and replaces two formerly separate SDKs: the Platform SDK and the .NET Framework SDK. You can use the Windows SDK to write applications using managed (.NET Framework) or native (Win32) programming models.
Here is the link of Windows SDK FAQ: http://msdn.microsoft.com/en-us/windowsserver/dd187216.aspx
How can I get the Windows SDKs?
A. The Windows SDK is available on the Microsoft Download Center, in ISO and Web-download formats. You can install the entire SDK (the default option) or choose to install only some SDK components, such as code samples demonstrating native development or tools for managed development. Some Windows SDK components are also included in Microsoft Visual Studio. You can always find links to download the SDKs on the MSDN Windows SDK Developer Center.
