Just in general terms, for a noobie. I apparently need an 'SDK' to install something; what is this?
An SDK is a set of libraries which hold reusable code that you in turn use to develop applications. Whether those applications will run in Windows, on an XBOX, and iPhone, in a Flash application, etc. determine what SDK you should be using.
Take the iPhone for example. To write an iPhone application, you write code in a language called Objective-C (which looks and feels just like C, but with Smalltalk's object-model). Anyway, every time you write an app, you don't need to rewrite the code that draws text on the actual screen or registers the actual screen-touches. Instead, Apple provides the code that all application developers will need to do simple things.
Likewise, if you're writing for Windows, there are libraries to do things like draw an actual window, or connect to the network stack.
All of these common libraries, along with some other tools, make up an SDK.
For C++, you will probably see a lot of mention of Boost. This is not an SDK, but rather a set of libraries that contain code that a lot of other developers find useful.
What platform are you trying to write for? Are you just getting into C++ in Windows and looking to get started? Are you trying to write a game for some console?