Don't know whether it's just me or a standard thing but I could not load the demo solution properly. Was getting errors about MSBuild files not being present for Silverlight 4 when I had this version installed.
I needed the Silverlight tools for VS 2010 downloadable here
to make it work.
I initially installed the Silverlight 4.0 SDK standalone, then got he message that I needed the VS tools. When I installed these I think it adds the SDK anyway.
I then got prompted to install the Silverlight tools from VS and once that is done I could open the demo project and run it with no problems.