Where do I get the DDK?
You must order the Windows XP DDK from Microsoft. Below is the link to order page:
You must install the DDK, not just copy the files in. You can then use the build environment tool to set the paths and even create a shortcut that will set these values and launch Visual Studio for you. From the Visual Studio Tools menu, select options then select the Directories tab. Your WINDDK should be the first directory in the list.