Thanks for the bug report. Are you sure that you installed the correct SDK components? I believe that the "Core" and "MDAC" components are all that is required, but perhaps something else is too. Try installing other components if you haven't already installed them all and let us know if some other component provides the missing files.
Note that the PSDK is a constantly moving target, and so are the links to it. (I should probably update the instructions to simply direct users to the MS download website and tell them what to search for.) The latest version, suitable for XP and 2003, is the 2003 SP1 version currently available here: http://www.microsoft.com/downloads/details.aspx?familyid=EBA0128F-A770-45F1-86F3-7AB010B398A3&displaylang=en I have this installed at the moment, and it definitely contains the required src files. (I'm surprised that you say the XPSP2 version doesn't, because I thought I'd successfully used that one in the past myself.)
