If you're not able to install the WinFX SDK (Feb CTP)....

...then you might be running into this issue with the installers, as reported by Jason Sacks. Keep your eye on his blog for a resolution to this. Here's the telltale sign in the install logs that you'd see:

[SDKSetup:Error] Config_Products_Install: Windows SDK Setup (failed): Installation of the "Microsoft Windows Software Development Kit" product has reported the following error: Fatal error during installation.

Update: seems this may be due to a bad iso -- either because of me or msdn. But the second download worked like a charm!