.NET 4.0 build issues on CI server

Question

Anybody manage to get .NET 4.0 applications compiling on a CI server without installing Visual Studio 2010 on a CI server?

No SDK exists for .NET 4.0. Have installed

Answer 1

SDK for .NET 4.5 available here. Installer works well with proxy with basic authorization. Supported Operating Systems: Windows 8, Windows Server 2012, Windows 7, Windows Server 2008 R2

P.S. My answer is more like a comment to Jeremy answer, but I have not enough reputation to comment on the answers.