Visual C++ 2008 Express Contains the Win32 SDK
Unlike Visual C++ 2005 Express, Visual C++ 2008 Express ships with the Windows Platform SDK, also known as the Win32 SDK. Visual C++ 2008 Express's Win32 SDK support means you don't have to install the SDK separately, and you don't have to modify any files to get Win32 support.
If you're running Visual C++ 2008 Express, you can skip over the Installing the Windows Platform SDK, Updating the Visual C++ Properties File, and Updating the Application Wizard's Settings File sections in my instructions.
The Path to the Win32 SDK is Slightly Different
In the section Telling Visual C++ Where to Find Your SDL Headers and Libraries, I said the path to the Win32 SDK was the following path:
C:\Program Files\Microsoft Platform SDK
If you install Visual C++ 2008 Express, you'll find the Win32 SDK at the following path:
C:\Program Files\Microsoft SDKs\Windows\v6.0A
The v6.0A is the Win32 SDK version. If you're reading this in the future, the version number may change.