Do you want to build apps for windows? I guess you can't use it without VS in that case. although the Windows SDK comes with C++ compiler and linker you can use it if you don't want to install Visual Studio.
But there is no harm in installing VS Express as it is free.
@Malware Test : What do you want to develop? Glad to see people developing for Windows Phone/Windows Mobile even though
its pretty rarely used At least until now.
Based on my observation, you need an IDE in order to make apps in Windows based; that logic applies to others. SDK are just primarily tools and without a programming interface then no process should occur.