Windbg Download

The latest version of Windbg can be downloaded from the link http://www.microsoft.com/downloads/en/details.aspx?FamilyID=6b6c21d2-2006-4afa-9702-529fa782d63b&displaylang=en

In the above link you will find Windows SDK and .NET framework 4. Windbg is also clubbed into this package. If you need to install only windbg and skip other stuff, you need to select Debugging tools under Common utilities  and keep everything else unselected while installing the package.

The above package installs windbg 7.1 version. If you want to quick install windbg, you can go for older version(6.11) which can be downloaded straightly.

Windbg 32-bit pakage:

http://msdl.microsoft.com/download/symbols/debuggers/dbg_x86_6.11.1.404.msi

Windbg X64 package:
http://msdl.microsoft.com/download/symbols/debuggers/dbg_amd64_6.11.1.404.msi

Windbg IA64 package 
http://msdl.microsoft.com/download/symbols/debuggers/dbg_ia64_6.11.1.404.msi

Related links:
Loading symbols in Windbg
Windbg commands reference
Windows crash dump file settings