Normally, when you install the Windows Phone SDK 7.1 you do it through the web installer located here:
However, if you need to install it on a disconnected machine (like a VM with no network access) it’s helpful to have an .iso of the installation media to install from.
Well, while they don’t make it obvious, Microsoft also provides a download for the .iso as well. You can get it from here (at least until the links change! :-):