I recently setup my laptop to play with Avalon (yeah, yeah, "WPF" I know.)  It turned out to be a little more work than I would have liked.  Hopefully the following outline will make your life a little easier when you try to install it (or mine if I need to do it again.)

Step 0

Clean off old versions of WinFX/SDK CTPs using the directions provided on this page.  Note: Read the directions!

Step 1

Go the Windows Vista and WinFX Beta Page and read the intro... yes read the intro.  It is actually helpful (I must confess that I tend to "scan" - read "skip" - introductory and instructional content; this is a bad idea when installing beta software.)

Step 2

Download (2.4 MB) and install the WinFX Runtime Components (December CTP).  This enables the .NET framework to run WinFX "stuff" (Avalon, Indigo, Workflow.)  If all you want to do is run WinFX apps, you're done after this step.

Step 3

Download (1.1 GB) and install the Windows SDK (December CTP).  This installs, among other necessisary things, XAML Pad.

Notes:
Don't let the *.img extension fool you.  Treat it like it's an *.iso.  Also, notice that is says in the instructions that you "might be able to use the Virtual CD-ROM Control Panel for Windows XP."  Several people have reported trouble with this (I guess Microsoft wanted to make good on their use of "might".)  Using Daemon Tools seems to have fixed the problem for most.  Alternatively, you can burn the image to disk.

I actually ran into a problem even while using Daemon tools.  After using the command "msiexec /package WinSDK-x86.msi /quiet /lv c:\out.log" in the "E:\Setup" folder (via a forum posting) and examining the install log, I found that the installer was having trouble extracting one of the files from the downloaded archive.  I tried re-downloading the file and was finally able to complete the install... fifth try's a charm, right?

Step 4

Download (3.5 MB) and install the Visual Studio 2005 Extensions for WinFX.  This is what allows you to build WinFX applications, write XAML, and edit Avalon forms inside Visual Studio 2005.

All done!  Enjoy the bits!