For the last two days i've tried installing Windows SDK available here: Microsoft® Windows® Software Development Kit for Windows Vista™ and .NET Framework 3.0 Runtime Components . When I tried to instal it, the setup crashed just at the beginnig, without saying anything interesting. I uninstalled everyting I could, that was somehow connected to the Visual Studio (Guidance Automation Toolkit, Visual Studio SDK, etc.). It didn't help. I've noticed that the setup (just at the beginning) displayed information that I alrready have installed 'Debugging Tools for Windows' and 'FxCop'. The setup also displayed information that I do not need to uninstal those programs. So I didn't - which ocurred a bad choice. Finally I unchecked those two programs from my custom installation and the Windows SDK was finally installed. Now I can start my WCF journey.
I couldn't find anything about the setup crashing on the web so I post it here. Maybe it will help someone.