The DDK that supports developing drivers for Windows XP® comes with everything you need to develop drivers. That means it comes with a compiler, a linker, and all the header and library files necessary for building drivers. Of course, it still includes the documentation and sample drivers.
The idea behind this plan is to allow you decouple your driver development environment from your application development environment. This should prevent the sorts of horrendous problems many of us experienced with Windows NT V4 when the DDK officially supported MSVC++ V4.2, but MSVC++ V5 and V6 were released during the product's lifetime. Symbol table formats changed. WinDbg stopped working. Ah, it was not fun.