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.
The most recent release of WPF is Beta 2 - released on the 23rd of May 2006. To begin developing WPF applications for Windows Server 2003 or Windows XP SP2 you need to download the Beta 2 release of the WinFx run-time components (WPF is a part of a larger package of new components for windows called WinFx). The WinFx runtime components are already installed with Windows Vista beta 2, so downloading them is un-necessary if you're going to be working with WPF on Vista.
The run-time components can be installed in two ways, either by downloading a small startup program (around 2.5 MB) that then downloads what is required for your install. You can dowload the setup program WinFx run-time components from here. You can also download the whole thing for x86 or x64 (both are around 45 MB). More information on the WinFx run-time components can be found here.
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. WinFx Beta 2 is supported on Windows XP SP2, Windows Server 2003 SP1 and Windows Vista Beta 2.
The next thing you will require to develop WPF applications is theVista Beta 2 Windows SDK. You can either download a small setup program which allows you to select which parts of the SDK you wish to install (to install the WinFx samples and tools is about 800 MB in total) or you can download the entire SDK (around 1.1 GB).
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. If you don't have Visual Studio 2005 installed you can use one of the free "Express" versions of Visual Studio to develop WPF applications.
You can also develop WPF applications using a new tool called the Expression Interactive Designer. The May 2006 CTP of the Expression Interactive Designer which is built for WPF Beta 2 can be downloaded here [6.9 MB download - registration via Microsoft Passport is required].