you can download Silverlight SDK from here. The problem is when you unzip all the files and try to open the help files (*.chm), you get following window.
To make it work, you need to right click on those files and you get a properties dialog as below. Click the ‘UnBlock’ button so that you can view the content. I think you get this behavior for XPSP2 as well as Vista where files are blocked when they are downloaded from network.
Online SDK is at http://msdn2.microsoft.com/en-us/library/bb188743.aspx
Quick start samples are at http://silverlight.net/quickstarts/