Actully, yeah, makes sense the Platform SDK wouldnt come with the beta, as the platform isnt completely stable yet (.NET framework v2).
Use 2003 next time, or try to get the entire Platform SDK from microsoft's site, iirc its a free download of around 250MB .. It SHOULD install it to the right places that way, but header files belong in Visual Studio's dir, for exmaple:
C:\Program Files\Microsoft Visual Studio .NET 2003\Vc7\PlatformSDK\Include
There's mine. Yours should be similar, notice that this is for C++ , replace Vc7 with other options for the different languages (VC#,Vb7,...)
EDIT: saw your link.. "Express Beta", D'oh. If you had the real 2005 Beta2, it might have been there. Never heard of an "Express" beta before either..