I reported last week that the Windows Phone 7 SDK includes Visual Studio 2010 express. This is true, the downloader will get those components from the server when you run the web-based download. It is also true however that if one already has Visual Studio 2010 installed, as I have with the Ultimate edition, the installer does not setup the VS2010 part.
This is reassuring but, for people who still have limited bandwidth this may be a problem. Last week I was downloading via my tethered iPhone so I cancelled quickly.
I just installed the SDK on my desktop machine over the DSL line so it was less painful.