This is tutorial on how I, with instructions from Fitzsimmons and logicmoo, came to be able to compile the Doom 3 SDK.
Download and install Microsoft Visual C++ 2005 Express Edition
Download and install the Platform SDK, the x86 version. I installed only the Tools and Build Environment options under Microsoft Windows Core SDK.
Under Tools->OptionsAdd the paths to the appropriate subsection:
Now open the D3Game.vcproj file. Under Solution Explorer pane on the left, right-click on Game and go to properties. Under Configuration Properties -> Linker -> Input -> Additional Dependencies, remove any instances of odbc32.lib and odbccp32.lib. You have to do this for each compile type (eg Release, Debug).
I also added a post-build process to copy the new .DLL into my mod directory. Saves me having to do it manually. Also, by renaming the gameXX.pk4 files to gameXX.pk4.disabled I prevented Doom 3 overwriting my .DLL when it started. This is created in the project properties under Configuration Properties -> Build Events -> Post-Build -> Command Line as a regular copy command.