with VC++2008 express you can start right away.
No need for extra downloads. You can compile dlls for 3DGS and can use these in commercial products. I am quite happy with it.
I installed it again and again I can't create dll projects... I click [new project] and than I can't find dll as template. There is nothing under win32 nor under CLR nor under general. (I don't know if these buttons are correct translated, because I have the german version of VC++ 2008).
Do I still need the WinSDK?
Dark_Samurai