I get this question from time to time. People are used to downloading some separate package that includes the SDK because that is how Windows and a few other Microsoft products do it. Since our entire product is built on top of the SDK we ship the SDK with the product itself. The binaries that we support people including in their Visual Studio projects and using in their solutions are found in the folders below (depending on version) on the SCSM management server.
2010: C:\Program Files\Microsoft System Center\Service Manager 2010\SDK Binaries
2012: C:\Program Files\Microsoft System Center\Service Manager 2012\SDK Binaries
If you installed to a different location than C:\Program Files then just look for a similar path in the location that you installed to.
These are the three assemblies you should include references to in your Visual Studio projects: