Can't install windows 7 SDK (require already installed .NET Framework 4)
I have encountered this problem, or at least what you describe sounds identical to what happened when I recently installed an older SDK on Windows 10. I was executing the setup.exe file at the top level of the download. And saw the same errors as you. But at the same level as setup.exe is a directory named Setup. Open that directory and execute the file named SDKSetup.exe. The installation should hopefully succeed when done this way.
The other SNAFU that can cause you trouble is if you already have the VS2010 MSVC runtime installed. You may need to uninstall it, install the SDK, and then re-install the VS2010 MSVC runtime.