Actually the .NET SDK does contain all the FCL documentation, as well as, compilers and several other related tools. You can get it here:

http://www.microsoft.com/downloads/details.aspx?FamilyId=9B3A2CA6-3647-4070-9F41-A333C6B9181D&displaylang=en

This is enough to get started with, and the best part: FREE!