And it gets even better!
I had the exact same experience as above finding and installing FxCop on my development machine...
BUT WAIT!  THERE'S MORE!
I also had to install FxCop 10 on a build machine.  I copied the FxCop installer from my machine to the build machine, installed FxCop and ran FxCop.  I got the runtime error stating the "Microsoft.VisualStudio.CodeAnalysis.Interop.dll" could not be found like @reidca posted above. 
Ok, no sweat I thought, I'll just copy over the installer and run that.  No dice... it's a web installer and the build server doesn't have internet access.  Back to Google, search Windows 7 SDK Download.  I could not find a download for the SDK setup.  Just the web installer and the ISO DVD image.
Downloaded the ISO file... back to Google to find an ISO image reader... Found one.  Downloaded it.  Ran it.  Copied the files off of the virtual CD over to the build machine.  Ran the MSI file under the WinSDKNetFxTools folder, re-installed FxCop from the installer the installer installed and repaired FxCop.  Still got the dll error.  Apparently I didn't have .NET 4.0 installed.
Reluctantly ran the SDK Setup, installed .NET 4.0, re-installed FxCop... long story... much wailing and gnashing of teeth... uninstall SDK, re-install SDK... now it FINALLY works.
This should NOT be so difficult.  Do I understand FxCop being bundled with the SDK?  Sure I do.  Do I understand not having a separate download for the individual components that are contained in the SDK? Not by any stretch of the imagination.  Especially considering what is necessary to find it in the first place.