WPF is built on top of the .NET framework 2.0, so the very first thing you will need is Framework 2.0 if you don't already have it.
To begin developing WPF applications you need to download the January CTP of the WinFx components (WPF is a part of a larger package of new components for windows called WinFx). You can download the WinFx January CTP from here. The installer is quite small, but is really only a small startup program that does not contain the full set of WinFx components. Once you select what you want it will begin installing the components propper (meaning that you will have to stay on-line while this happens). If you had previous versions of WinFx on your machine you should remove them with this tool.
Next you should download and install the Windows SDK that accompanies the Jan WinFx CTP. Unfortunately this is quite a large download (~1GB) and contains many things you do not require, so if you are constrained for bandwidth you can omit this component.
If you intend to develop WPF applications in Visual Studio 2005 you can download a group of extensions and project templates for visual studio 2005 to help you do WinFx and WPF development more easily.
You may also wish to download the Expression Interactive Designer Jan CTP. This is written in WPF for designing WPF UI.
Once you've downloaded the latest bits you can begin in the how-to section with some simple WPF examples.