Here is a step-by-step install of Visual C++ 2005 Express and the Platform SDK. This assumes you've used the full ISO images for your install.
This was originally written for Doom modders but the same install can be used to build the Crysis SDK too.
First of all you should install Visual C++.
You don't need to install MSDN, but it may be helpful for help with Visual C++ if you need it. And unless you really want to do database things as well don't bother with SQL Server.
You can choose to install wherever you like, but I would recommend using the default installation paths if possible.
Now install the platform SDK and choose "Custom" when asked. When you get to the point where it asks you to "Select An Installation Location" make sure you edit the path as instructed in the screenshots below.
This is the point at which you must make sure the install directory is the VC\PlatformSDK under your Visual C++ folder.
You only need to install a subset of the Platform SDK to work with Doom 3 / Crysis; just Core and MDAC. You can select "Will not be available" for the other stuff for a smaller install.
The last thing you need to do is change one of the configuration files that was installed by Visual C++. Navigate to the VCProjectDefaults folder (see below). Edit the file corewin_express.vsprops and alter it to be exactly the same as CoreWin.vsprops.