Quote: "Could this mean that I need to download Microsoft Windows Software Development Kit (SDK) Update for Windows Vista of 3/22/2007 (1.2 GB)?"
No. What you need is to define a path to the "include" directory in your DirectX SDK. You can do this in project settings or in Visual Studio settings to make it valid for all your projects. The latter option can be managed in Options|Projects & Solutions|VC++ Directories. There you can choose Header files from the combo box and add a valid path to the DXSDK\Include folder.
This should do the trick, it has nothing to do with the GDK.