The order that you install those products actually matters, to the point that if you install them in the incorrect order, or with an incorrect procedure they wont work.
Before you start, just a piece of advice, unless you are very familiar with Visual Studio and the file structure of windows and your PC, let all of the installer put everything in it's default locations and with it's default values.
First, you need to install Visual C++ Express 2008, once you have that installed, you NEED to run it once. Start it up, and you'll see a small message telling you that its preparing itself as it is it's first run, it basically goes through and sets a heap of environment variables up and points itself to various places and libraries on your pc, it important that you do this step before you install anything else at all.
Second, you install DirectX SDK(August 2007). Just install it to the default location. Note : Its important that you have run Visual Studio C++ 2008 Express Edition at least once BEFORE you try to install anything else in it(I will repeat this as its very important

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Third, you install the DarkGDK C++ Library. Just leave everything at default, once it is finished you should be able to startup visual c++ and create a new project, in the project type->wizards group, you should see 3 wizards related to DarkGDK Game, DarkGDK 2D Game and DarkGDK 3D Game. Select "DarkGDK 3D Game" and name it whatever you want(or leave it default, doesnt matter), once it has created the project for you, open the "main.cpp" file and run it. It should run with no errors if everything is setup correctly, it will show a bunch of small coloured spherical objects slowly rotating in the GDK window.
Everything that I have said above is listed in the installation instructions that you can find with DarkGDK(there are also a bunch of topics in these forums relating to different problems people have had with installing GDK)
If it ain't broke.... DONT FIX IT !!!