Where is the .net 3.5 SDK?

Update 2020: I can confirm that this option is still valid in VS 2019 (Enterprise and Professional at least)

In VS2017 Tools Menu >> Get Tools and Features...

Then in the VS Installer window select the "Individual Components" tab and make sure you have ".NET Framework 3.5 development tools" checked and installed

The link above is good, here is a link that contains links to every Microsoft based SDK. It is kept fairly up to date.

http://msdn.microsoft.com/en-us/dd299405.aspx

Edit If you are cutting edge. Meaning wanting to start programming for features in Win 7, server 2008 r2. this would be a link with the latest and greatest. at RC level. (although Win 7 is released with .net 3.5 sp1)

http://www.microsoft.com/downloads/details.aspx?FamilyID=6db1f17f-5f1e-4e54-a331-c32285cdde0c&displaylang=en

In addition this link is also nice.

http://code.msdn.microsoft.com/WindowsAPICodePack

Contains .net wrappers to most of the new features in win 7.