¶Visual Studio 2005 has an old Platform SDK
Visual C++ 6.0 is getting rather dated at this point, and as Microsoft is increasingly dropping support for it, finding the right versions of SDKs that will work with VC6 is rather hard. MSDN Library is out past about October 2000 or so. You can get pretty far with the Platform SDK if you don't link with the new libs, which shouldn't be a problem if you use GetProcAddress() for compatibility like a good Windows programmer, but you need a fairly old DirectX SDK if you are doing DX stuff. And the end of the line is approaching fast.
Visual Studio 2005 is The New Way(tm) for both native and managed development, and I had hoped that switching to Microsoft's latest and greatest would solve the SDK madness for a while. Sadly, this is not the case. The Platform SDK that comes with Visual Studio 2005 is a little bit old, so if you install only the DirectX SDK you'll still land in the twilight zone where neither the PSDK nor the DXSDK has the DirectShow headers and libs. Basically, if you're doing DirectShow development, you'll still need to install and hook up the latest PSDK.