A few colleagues and posters to the WPF Forum have reported problems with the Feb CTP of the Windows SDK installing. The error message they've given is something like:
Windows SDK Setup (failed): Installation of the "Microsoft Windows Software Development Kit" product has reported the following error: Fatal error during installation.
The Windows SDK can be installed in two different ways - by downloading a 217 KB setup executable that then downloads and installs the necessary components, or by downloading a 1089 MB img (CD image) of the SDK and installing from there. These problems seem to be present more often when installing using the 217 KB setup file. We recommend downloading and installing from the .img (assuming you have enough bandwidth to download this large file) if you experience problems installing the Windows SDK using the setup executable.
If you have problems installing from the .img file this can be caused corruption of the image during download. You can run a Cyclic Redundancy Check (CRC) to verify its correctness as described in this posting by Jason Sacks, the Program Manager for the Windows SDK installer.