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 February CTP of the WinFx components (WPF is a part of a larger package of new components for windows called WinFx). You can download the February CTP of the WinFX runtime components 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 have previous versions of the WinFx runtime components installed on your machine you can remove them with this tool using the process described. The Feb CTP is supported on Windows XP SP2, Windows Server 2003 SP1 and the Windows Vista February CTP.
Next you should download and install the Windows SDK for the February CTP that accompanies the Feb 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.[update] but is required for the Visual Studio extensions and project templates to work (thanks Doug Stockwell). If you have problems installing the Windows SDK read this.
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.
A new release of the expression interractive designer built against the the Feb 2006 CTP is available here. It is written in WPF, and allows you to design WPF UI without needing an intimate knowledge of Xaml.
Once you've downloaded the latest bits you can begin in the how-to section with some simple WPF examples, or if you've done some WPF development before you might want to consult this list of changes between the previous CTP and this one.