I'm on SDK 7.0 atm. It's been a while since I set it up, but I think I'm just using the CMD Shell that comes with the SDK. IIRC the only thing I did was modify the shortcut like so:
C:\Windows\System32\cmd.exe /E:ON /V:ON /T:0E /K "C:\Program Files\Microsoft SDKs\Windows\v7.0\Bin\SetEnv.cmd" /x86 /release
The default was /debug I think. Also changed the "Start in" folder to point to my project root for convenience. The ${env.MSSDK} is an environment variable that points to "C:\Program Files\Microsoft SDKs\Windows\v7.0". Not sure if it's created automatically when you install the SDK or I created it manually.
Hope this helps.