Symptoms
I get the attached message, even though the CRM 4.0 SDK is on the machine, and in the PATH environment variable. What else is required to "install the CRM 4.0 SDK"
Diagnoses
There is a note in the installation guide for K2 which state that the CRM 4.0 SDK needs to be installed in order to work with CRM 4.
Resolution
Links from the K2 Installation Guide:
A standalone system install
http://help.k2.com/onlinehelp/K2blackpearl/ICG/current/webframe.html_Installing_Standalone.html
If you want to integrate with CRM 4, download and install the CRM 4 SDK prior to starting the K2 Setup Manager. (Note that the CRM 4 SDK Assemblies must be added to the Global Assembly Cache (GAC) of the K2 server)
CRM 4 SDK:
http://www.microsoft.com/downloads/en/details.aspx?FamilyID=82e632a7-faf9-41e0-8ec1-a2662aae9dfbanddisplaylang=en
If you want to integrate with CRM 2011, 2013 or 2015, the K2 Setup Manager will automatically install the required SDK and redistributables.
CRM 4 SDK Assemblies must be added to the Global Assembly Cache (GAC) of the K2 server before running the K2 Setup Manager.