<p>I just installed the SharePoint SDK on my machine, but I can't seem to find the location of Microsoft.Sharepoint.dll so I can add a reference to it.</p>

<p>It's not in the GAC or C:\Program Files\Common Files\Microsoft Shared\Web Server Extensions\12\ISAPI\ and a search comes up with nothing.</p>

<p>Any suggestions?</p>

It might show up in the "add reference" dialog anyway - 99% of the time you don't reed to know the physical location.  Look in the ".Net" list, which is sorted alphabetically.
I assume the SDK installer would assert this, but Sharepoint development also requires a server OS.