First you have to decide whether you want to start off the vanilla SDK or OJP base/enhanced.
In the first case, you can download it from jk3files - Jedi Academy > Official_Releases > Others
, along with 1.01 patch (which you'll need to use any compiled DLLs).
In the second case, I'd suggest you hook up with the OJP guys themselves (look in the "hosted forums" section to find their sub-forum).
As for the compiler, you can in deed use Visual C++ 2008 Express Edition
. But you'll have to apply some fixes to the JA source code first
(with the vanilla SDK, you can use these code fixes
of mine, if you want).