In order to successfully set the SDK, you need to make sure that you cover all the requirements for Sitefinity development. Also we have an article regarding the setup process of the SDK:
Generally, you need to create a sample's extraction directory, which you can set when browsing to the samples tab ( the link for the directory is located on the bottom right corner ), and start a sample in the browser. You will be prompted for a SQL server and then for a license.
The "Not licensed" message is displayed because the SDK needs your Sitefinity license. You have the ability to browse to your project license and use it for the SDK as well.
the Telerik team