When I came across the following error, I needed to search a bit before I found the solution. I hope this will help someone facing the same issue.
The error I faced was:
error MSB3411: Could not load the Visual C++ component "VCBuild.exe". If the component is not installed, either 1) install the Microsoft Windows SDK for Windows Server 2008 and .NET Framework 3.5, or 2) install Microsoft Visual Studio 2008
The following blog post of Jeremy Jameson actually gave me a clue on how to solve this.
You do not want to install visual studio on your build server. Keep it as clean as possible to prevent the “It only works on my machine”-issues. Installing the windows SDK isn’t ideal either but acceptable.
After installing the right components, the next step is to include VcBuild in the path. You can configure it in your CI but I think changing the global path environment variable is more acceptable. To set the global path variable: right click My Computer, choose Properties. In Windows 7 click on Advanced system settings.
In this new window click on Environment Variables.

In the Environment Variables dialog choose Path under System variables. Click on Edit.
Add the following path for x86 systems (It might look differently for x64 systems):
;C:\Program Files\Microsoft Visual Studio 9.0\VC\vcpackages
Make sure the path is seperated from the previous path with a semicolon (;). And yes even when you install the windows sdk, VcBuild.exe is located in the Microsoft visual studio folder instead of a windows sdk something.
Press Ok, Ok, Ok and Close :) all windows should be gone now.
One last catch with Hudson: restart it to have the new path availlable during the build steps.