The most recent release of WPF is the June CTP - released on the 23rd of June 2006. To begin developing WPF applications for Windows Server 2003 or Windows XP SP2 you need to download the June CTP release of the .NET Framework 3.0 run-time components (WPF is a part of a larger package of new components for windows called .NET 3.0). The .NET 3.0 runtime components are already installed with Windows Vista, but because WPF is more closely integrated into the operating system in Vista than in XP or Windows Server 2003 you need to make sure you have the right version for WPF for your version of Vista. The June CTP of .NET 3.0 will work with Vista build 5456. If you want to develop WPF applications for Vista Beta 2 you should use the beta 2 release of WPF
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 download 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 .NET Framework 3.0 run-time components can be found here.
If you have previous versions of the WinFx runtime components installed on your machine you should follow the manual step found in item 2.1 of the release notes to correct a problem with imaging in the June CTP.
The next thing you can optionally install when developing WPF applications is the Windows Vista SDK, which is about 1.1 GB in size. The Windows Vista SDK can be downloaded from here. This component is not required for WPF development if you intend to primarily use Visual Studio 2005, but the samples and documentation and tools like XamlPad are quite useful.
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 [4.2 MB] 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 application.
Versions of the Expression Graphic Designer and Expression Interactive Designer for the June CTP are now also available for download. The Expression Graphic Designer (formerly known as Acrylic) allows you to create images and export them as Xaml for inclusion in your WPF applications. The Expression Interactive Designer (formerly known as Sparkle) is a tool for designing WPF UIs, and is also written in WPF.