Just DL SP5 (service pack 5). It's available at microsoft.com. Also get Dave Wessels "API Tutorial". It's a bit dated (it was made for EAW), but still the best tut I've seen. I know almost nothing about C++ and was able to make working skirmish scripts that ran. Also Cam78's "Skirmish Walkthrough". With these two, you should at least be able to get something that runs and decide if you want to dive in deeper.
Dave has a personal site that his Tutotial is on. I don't have the addy right at hand, but a search of Dave Wessels, or Nuclear Wessels, should come up with it. That's how I've gotten it before. It's 71 pages long and prints out pretty well.
I found Cam78's at Starfleet Universe, IIRC. It's about 18 pages long and is for writing a basic skirmish script.
Be carefull loading the API. You have to use your registry editor and the instructions that come with the API aren't real clear. This n00b screwed up his registry the first time he tried to do it. Dave Wessels instructions were much easier to follow for me, and I was able to load the API correctly with them without screwing my registry up.
good luck