There is an official guide to setting up your dev environment.
But the service fabric SDK installer failed for me: 
Running through the logs, it turned out the installer wasn’t correctly escaping the space in my windows username. You can work around this by following the installer logs to find where the web platform installer dropped the msi’s and run the servicefabric msi commandline manually;
C:\Users\Eric Winkler\AppData\Local\Microsoft\Web Platform Installer\installers\ServiceFabricRuntime\ED645A34ECBC59B343FC280D04BB361558A8DDB1>MicrosoftServiceFabric.4.0.95.9490.msi STARTUPTYPE=disabled IACCEPTEULA=yes PRINCIPALUSER="Eric Winkler" PRINCIPALDOMAIN=JARVIS ACTION=INSTALL REBOOT=ReallySuppress(Note the added quotes around the PRINCIPALUSER parameter)
I had to do this several times for each of the service fabric msi’s.