For developing programs for windows, we need windows SDK. I understand that this SDK is what helps to create windows and handle window events and all that. I suppose it also enables us to manipulate with files and registries. (Does the same SDK is the reason for thread creation and handling?)
All that is fine!
I would like to know what are the files and libraries that come as a part of this SDK. Also does it come when I install the OS or when I install editors like Visual studio? Sometimes I see links to windows SDK separately as such. Is it same as the one that I get when installing Visual Studio or has something more than that.
Base Services: 
Provide access to the fundamental resources available to a Windows system. Included are things like
These functions reside in kernel32.dll on 32-bit Windows.
Advanced Services:
Provide access to functionality that is an addition on the kernel. Included are things like the
These functions reside in advapi32.dll on 32-bit Windows.
Graphics Device Interface:
Provides functionality for outputting graphical content to
It resides in gdi32.dll on 32-bit Windows in user-mode. Kernel-mode GDI support is provided by win32k.sys which communicates directly with the graphics driver.
User Interface:
Provides the functionality to create and manage screen windows and most basic controls, such as
This functional unit resides in user32.dll on 32-bit Windows. Since Windows XP versions, the basic controls reside in comctl32.dll, together with the common controls (Common Control Library).
Common Dialog Box Library:
Provides applications the standard dialog boxes for
The library resides in comdlg32.dll on 32-bit Windows. It is grouped under the User Interface category of the API.
Common Control Library:
Gives applications access to some advanced controls provided by the operating system. These include things like
The library resides in comctl32.dll on 32-bit Windows. It is grouped under the User Interface category of the API.
Windows Shell:
Component of the Windows API allows applications to access the
The component resides in shell32.dll on 32-bit Windows. The Shell Lightweight Utility Functions are in shlwapi.dll. It is grouped under the User Interface category of the API.
Network Services:
Give access to the various networking capabilities of the operating system. Its sub-components include
RPC and many others.
Internet Explorer web browser APIs:
I have listed only files for 32-bit windows (as that is what many window developers work on)
For more info, please check http://en.wikipedia.org/wiki/Windows_API
EDIT: Above dlls and all are part of the operating system, not the SDK. The Windows SDK provides import libraries (.lib files) that allow code to dynamically link against these system-provided DLLs. (This was rightly pointed by Marcelo Cantos. Many thanks to him)
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