This post should help you to not only get you started with all the pre-requisites needed but also would include some handy information regarding troubleshooting issues that most commonly faced during installations.

Updated the links as per the latest installation files:

 Visual Studio 2010 RTM here

 Expression Blend 4 Release Candidate from here

 Windows Phone Developer Tools CTP – April Refresh from here

 Expression Blend 4 for Windows Phone Preview 2 from here

 Silverlight Tools here

 Silverlight April Toolkit from here

 WCF RIA Services RC2 from here

 WCF RIA Services Toolkit April 2010 from here

Installation Requirements and Resources:

I will start with giving the most common/basic URL’s where you need to start to install everything related to Silverlight information.

  1. Firstly the Silverlight plugin/ runtime that could be installed by going to the link

    You can install either the MAC or the Windows Runtime by clicking on the required buttons.

    Just in case you need the download links for these runtimes.
    Silverlight Developer Runtime
    Developers can install the Developer Runtime to get additional debug and error information. Choose the getstarted link you will find all the pre-requisites that are required to start doing Silverlight stuff.
    Mac or Windows version.

  2. Secondly in the same

    This should include (Any Servicepacks-SP1 etc. required for Visual Studio2008, Silverlight Toolkit, Developer Runtimes, SDK, Silverlight tools, Expression Blend, DeepZoomComposer, RIA services)

    Make sure that they are installed in the same order as mentioned in the website to ensure you don’t miss anything or fall into pit of unexpected errors.

  3. All the most important download links that are needed to install can also be found at the technical resources section which provides more information as to what each download is meant to install.
    The Moto of this link is to give a complete spilt view of all the tools that are really required.

    Note*: You can even ignore approaching this link if everything goes smoothly with Step2.

Bad Installation (or) Issues while Re-Installing / Manual clean-up of broken installation:

It’s always good to check what is the problem that is arising and then act accordingly and most important to act relevant to the issue that arises while installation.
But on saying that I would suggest doing a fresh install / re-installing on most cases when you have already spent enough time on trying to find out what the root cause of the issue is.
(Or Else I can just guarantee that you will keep struggling endlessly and to your surprise you might end up so long that Microsoft will release its newer version as well. Just for the funnier side of it.
I only meant that you need not spend much time trying to figure out where the issue could be especially when your goal to just go create a simple Silverlight project. Obviously we aren’t working on some Silverlight test team for Installations.)

But it’s a good practise to notify Microsoft Corporation if you really find out some major bug or something that seemed unusual experience. And any suggestions/bugs/feedback can always be posted at Silverlight forum.
Now you suspect a bad installation which could occur due to some million reasons. The action item would be to uninstall the entire Silverlight related stuff (Step1) one after the other.
If you still face some problem after reinstalling the Silverlight and something still doesn’t work then you might have to consider fixing the broken install via. the registry way. Bob Pomeroy clearly explains in one of his blog on how to achieve this.

You don’t have to go anywhere because here is the link for your reference:

Visual Studio Service Pack (SP1) / Silverlight Tools & Toolkit Installation Issues: (No Internet Scenarios)
There will be situations where you might face a problem with installing the Visual Studio Service Packs and the Silverlight tools which are having a dependency on one another.
Particularly if you have restricted internet connectivity and the installation doesn’t happen smooth enough. In those cases ensure that you first install the service pack for visual studio which is mandatory. If you have a bad installation ensure that you uninstall it and then re-install before you proceed for the Silverlight Tools/Toolkit installation. But after successful installation of the service pack if you are still unable to install the SL Tools/toolkit. You might have to consider an offline installation of Silverlight Tools where we will have to manually extract all the contents of the Silverlight tools.exe and then install all the runtimes and Servicepacks required. The same would be the case if you are unable to install the service pack SP1 for Visual Studio. You might have to install the Service packs manually once you extract the silverlighttools.exe as mentioned by Tim Huer. Please note that if you are using Visual Studio Web developer express edition then you might have to install the webdeveloper service pack which exists in the same folder after you extract it.
Installing Visual Studio Tools Offline:

Important Note while Upgrading/Re-installing a higher version of Silverlight:
It is very likely that people get into trouble so often while they are upgrading from one version of Silverlight to another. Especially when Microsoft is doing some rapid development to get the new version Silverlight builds released so quickly. So the key point here when you get an issue while upgrading/re-installing is to check if you have installed the versions properly and there are no conflicting versions. You might have to go and check the version that you just installed from your Control Panel Add/Remove Programs using a Windows XP OS & Control Panel/ Programs using Vista/Win7. Just select the particular Silverlight product (SDK, plugin, Toolkit etc.) and version information should be visible there. Ensure that there are no conflicting versions over there. Mainly no two different versions should co-exist. On most cases this causes Visual Studio to enter into “Obsolete Silverlight version error”. So ensure that you either uninstall one of the versions or maybe both then re-install it.
For Example:
If you have a plugin with a version 3.0.406… SDK shouldn’t be 3.0.405 or anything lower or higher.
But all the sdk’s, toolkits, runtimes should be of the same version. This you can verify in the Control Panel/Add Remove programs section as mentioned earlier.

These are the most generic issues that we face during installations. This was just an attempt to help you guys out with the most common scenarios. I would like to know if there are more scenarios that you might come across and how you had fixed that. So that we can keep updating the post for everyone’s perusal.
Issues VIA Web Platform Installer:

Hope this has helped. Your comments are always welcome and you are free to refer this post to others who might be facing similar issues.

Finally A Nice compile of Installation Error Codes by Amy:
Deploying Silverlight In Enterprise: (Deployment Guide)