A customer recently contacted me because after installing an SDK it didn’t show up in Visual Studio 2008. 
So being a good vendor I installed VS2008 and then installed the SDK – no problem the SDK showed up and I could create projects based on it. I let the customer know that the SDK definitely works with VS2008. The customer got back to me and asked what OS I was using. Hmm, how could that play into this? I told him that I use Windows XP, and it turned out that he is way more modern than I am and is using both Windows Vista and 7.
The customer opened a support case with Microsoft. The answer turns out to be that the SDK install requires the user to be logged on as an administrator when installing on Windows Vista and 7 for the SDK to show up in Visual Studio 2008. This problem does not seem to exist for Visual Studio 2005 on those operating systems.
The actual instructions from Microsoft Support are:
1)      Make sure Visual Studio 2008 is not running. I also shut down the device emulator manager but you may not be using that.
2)      Open a “Visual Studio 2008 Command Prompt” as Administrator. On Windows 7 just right click the short cut and pick the “Run as administrator” option.
3)      Enter the following command: msiexec /log SDKInstallLog.txt /package <the path to your .msi file>
4)      When asked if you wish to do a custom or complete install pick custom
5)      Instruct the installer to omit the installation of the documentation. This was something I found about CE 6 SDK installation issue and may have no bearing upon your problem but I did it anyway.
6)      Install
 
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