To build all flavors of Rx, you will need several different SDK's installed:

Visual Studio 2012
Windows Phone 8 SDK (create.msdn.com)
Windows Phone 7.1 SDK (create.msdn.com)
Silverlight 4 SDK
Microsoft Silverlight 4 Tools for Visual Studio 2010
Xbox XNA Game Studio 4.0*

* Note: Installing Xbox XNA Game Studio is tricky on Windows 8, as you must install some other dependencies first.
  More information can be found here:  http://blogs.msdn.com/b/astebner/archive/2012/02/29/10274694.aspx

For building installers and Visual Studio extensions, we need the following installed:
Visual Studio 2012 SDK
Windows Installer XML (WiX) toolset (wix.codeplex.com), preferably version 3.5.


Note: the XNA Game Studio build has not been actively maintained and may not build.  Feel free to fix it!