I have installed Visual Studio 2008 (also tried with 2010 beta) and cannot see the option to start a new smart device project (for windows mobile)

I have tried multiple websites - I appears I have to install windows mobile 6 SDK but when I try to install that it says I need to have visual studio 2005 installed.

Am I missing something really obvious? I have installed on several PCs and don't see any options for visual studio to install this?