Yes, in addition to Reed's answers, if you are talking about the Windows Phone 7 Series, in particular, the information is here ( developer.windowsphone.com/windows-phone-7-series ).
In addition, even if you have Visual Studio 2010 Pro, you need to download the entire package, including VS2010 Express, to use the new SDK.
In addition, unfortunately, you cannot have other versions of VS installed on the computer on which you want to try the SDK, so you better use a different block or virtual machine.
enjoy!
Correction
My bad one, as Arun Mahapatra points out below, you can run VS2010 express using your phoneβs SDK along with other VS versions with a few caveats.
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