1. Get the official SDK 0.4 here: Files.gsc-game.com - install ONLY to "Program Files" folder. If you are running Vista of Windows 7 x64, make sure you NOT install SDK in "Program Files (x86)".
2. Get the unofficial update here: Stalkerin.gameru.net - update your install
3. Get the vcredist from microsoft download center and install. Sadly there is a lots of versions of vcredist and I can't remember which are you need exactly. If my memory wasn't cheating on me, it's a vcredist 2005. Install.
4. Check if level_editor\bins\ folder inside SDK have this files:
If not - find them and put there. This is a Borland runtimes.
5. Get the advanced compliers set there: Stalkerin.gameru.net - unpack it's contents in "level_editor" folder inside SDK, overwriting files. It's readme in russian but can be pretty readable translated by Google Translate.
6. Get the aiwrapper package there: Stalkerin.gameru.net - unpack it's contents in "aiwrapper" folder inside SDK (there is no such folder, you need to create it by yourself) It has english readme files.
7. Unpack all original game archives contents to level_editor\gamedata folder inside SDK, overwriting files.
Now you can try to start SDK and check if it working. If SDK crashing with "dll bla-bla not found"-like error - find needed dll and put in the level_editor\bins folder inside SDK.
And be prepared - if you are running Vista of Windows 7 - then file open and save dialogs in SDK wouldn't work. To fix this follow this guide: Sdk.stalker-game.com
WARNING! Even after what not all SDK dialogs are working in Vista of Windows 7, so I suggest you to make a VM (Virtual Machine) with Windows XP or Windows 2000 and run SDK from there. You'll need a VM with 3D support - such as latest VMWare Player - it's free for personal use.