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Can someone give me a rundown on what the sdk will install, directories etc. Is it like the J2SE with a main folder or does it let rip all over my HD? >>
It rips all over your HD. It installs the .NET compilers, the base class libraries, the QuickStart tutorial and some other stuff.
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Why do I need IIS installed, I don't want to use IIS? >>
Not sure. Perhaps some .NET class libraries like those under System.Web require IIS components. Why would you want to install .NET if you don't plan to build web-enabled, distributed apps, though?

Unless you only want to build some simple WinForms apps.