.NET 4.0 build issues on CI server

Question

Anybody manage to get .NET 4.0 applications compiling on a CI server without installing Visual Studio 2010 on a CI server?

No SDK exists for .NET 4.0. Have installed .NET 4.0 on CI Server. Msbuild.exe works for simple projects and give the following warning:

(GetReferenceAssemblyPaths target) -> C:\Windows\Microsoft.NET\Framework\v4.0.30319\Microsoft.Common.targets(847,9): warning MSB3644: The reference assemblies for framework ".NETFramework,Version=v4.0" were not found. To resolve this, install the SDK or Targeting Pack for this framework version or retarget your application to a version of the framework for which you have the SDK or Targeting Pack installed. Note that assemblies will be resolved from the Global Assembly Cache (GAC) and will be used in place of reference assemblies. Therefore your assembly may not be correctly targeted for the framework you intend.

Answer 1

You don't need to install VS anymore, you can install the "Microsoft Windows SDK for Windows 7 and .NET Framework 4" now.

http://www.microsoft.com/downloads/details.aspx?displaylang=en&FamilyID=6b6c21d2-2006-4afa-9702-529fa782d63b

Answer 2

SDK for .NET 4.5 available here. Installer works well with proxy with basic authorization. Supported Operating Systems: Windows 8, Windows Server 2012, Windows 7, Windows Server 2008 R2

P.S. My answer is more like a comment to Jeremy answer, but I have not enough reputation to comment on the answers.