The installer doesn't setup Visual Studio 2008 professional, but it is pretty straightforward to do the setup yourself and the GDK works perfectly with Visual Studio 2008 Professional.
Go ahead and install the Dark GDK. After the installation is finished there will be a link to the installation pdf placed in your start menu (The Game Creators>>Dark GDK>>Installation). Follow the instructions in the installation document to manually add the link and include directories.
In the Dark GDK installation directory, you will find the project templates (C:\Program Files\The Game Creators\Dark GDK\Wizards). You will also find the Visual Studio configuration files (C:\Program Files\The Game Creators\Dark GDK\Wizards\files\). Create a Dark GDK directory under the C++ projects directory (C:\Program Files\Microsoft Visual Studio 9.0\VC\vcprojects). Copy the files from the files directory mentioned above to this location. Edit each vsz file and change the ABSOLUTE_PATH parameter to the directory for each project (not the directory for the solution, but the acutal project directory; ie: C:\Program Files\The Game Creators\Dark GDK\Wizards\Projects\Dark GDK - Game\Dark GDK - Game for the basic game project).
When you launch Visual Studio 2008 Professional and create a project, you will find the templates under C++ in their own DarkGDK section (see attachment).
From there everything should work correctly.
In an infinite universe, all things are possible.